# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001752724-23-049068
**Filing Date:** 2023-3
**Character Count:** 260599
**Document Hash:** e2910f1473e2843514e63d25e3351c25
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049068.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049068

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 23690781

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

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

## Series and Classes Contracts Data

### Transamerica Janus Balanced VP (Series ID: S000025012)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000074409 | Service      |  |
| C000074410 | Initial      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica Janus Balanced VP

- **b. EDGAR series identifier (if any):** S000025012

- **c. LEI of Series:** 549300H5SRTFMXMC7006

**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:** $1076004257.65

**Total Liabilities:** $142900009.60

**Net Assets:** $933104248.05

**Delayed Delivery Securities:** $42694003.70

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -606.06000000 | **1-Year:** -7864.23000000 | **5-Year:** -24577.20000000 | **10-Year:** -24579.97000000 | **30-Year:** -6165.73000000

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

- **3-Month:** -176.28000000 | **1-Year:** -1481.48000000 | **5-Year:** -4310.07000000 | **10-Year:** -3658.82000000 | **30-Year:** -1898.28000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074409 | 3.88%                | 4.86%                | -3.16%               |
| Class ID C000074410 | 3.88%                | 4.91%                | -3.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1499568.99             | $35068657.86                               |
| Month 2  | $-8708071.13             | $52886284.77                               |
| Month 3  | $352481.17               | $-31970265.50                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83995 | PA      | $71958.80     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc                    | Honeywell International, Inc.                                                 | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     35117 | NS      | $7525573.10   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1348000 | PA      | $1290980.34   | 0.14%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188548 | PA      | $184489.97    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94016 | PA      | $89757.50     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPI Re-Remic Trust                             | TPI RE-REMIC Trust                                                            | CUSIP: 872659AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $341300.37    | 0.04%             | 2046-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                            | CBAM Ltd.                                                                     | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1177983.40   | 0.13%             | 2035-01-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust 2020-1   | Westlake Automobile Receivables Trust                                         | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $603595.62    | 0.06%             | 2025-06-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1298000 | PA      | $944412.30    | 0.10%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                    | Equinix, Inc.                                                                 | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    533000 | PA      | $425194.79    | 0.05%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                        | Duquesne Light Holdings, Inc.                                                 | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    642000 | PA      | $503878.07    | 0.05%             | 2032-01-07      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260033 | PA      | $244524.08    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $209565.18    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329080 | PA      | $302356.62    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102454 | PA      | $94513.27     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                                 | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2873262 | PA      | $2643307.60   | 0.28%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp.                                                         | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    652000 | PA      | $604232.51    | 0.06%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306036 | PA      | $282466.60    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                 | Air Lease Corp.                                                               | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    412000 | PA      | $344934.39    | 0.04%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                      | L3Harris Technologies, Inc.                                                   | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |     18592 | NS      | $3871040.32   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99812 | PA      | $93370.99     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $764434.15    | 0.08%             | 2039-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1275849 | PA      | $1230555.18   | 0.13%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                             | Aqua Finance Trust                                                            | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249990 | PA      | $228659.27    | 0.02%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust                                  | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284584 | PA      | $276326.97    | 0.03%             | 2028-05-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| United Parcel Service Inc                      | United Parcel Service, Inc.                                                   | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |     71988 | NS      | $12514393.92  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1415422 | PA      | $1310210.21   | 0.14%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dollar General Corp                            | Dollar General Corp.                                                          | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     35375 | NS      | $8711093.75   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084991 | PA      | $1961434.82   | 0.21%             | 2062-08-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Accenture PLC                                  | Accenture PLC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |     28553 | NS      | $7619082.52   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| VASA Trust                                     | VASA Trust                                                                    | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $391909.54    | 0.04%             | 2039-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                       | AT&T, Inc.                                                                    | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    378000 | PA      | $262869.51    | 0.03%             | 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        |   1416000 | PA      | $1085442.62   | 0.12%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314593 | PA      | $269510.80    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                              | FREED ABS Trust                                                               | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283652 | PA      | $282725.93    | 0.03%             | 2029-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                        | Goldman Sachs Group, Inc.                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1486000 | PA      | $1429758.33   | 0.15%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes                                       | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225922 | PA      | $225162.58    | 0.02%             | 2032-08-16      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738346 | PA      | $679188.43    | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                        | HCA, Inc.                                                                     | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    242000 | PA      | $243794.96    | 0.03%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust                                                        | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    113591 | PA      | $95170.27     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418081 | PA      | $336195.78    | 0.04%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24337 | PA      | $23800.53     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109173 | PA      | $106772.21    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10993000 | PA      | $7578728.76   | 0.81%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                  | UWM Mortgage Trust                                                            | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322808 | PA      | $257953.15    | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Progressive Corp/The                           | Progressive Corp.                                                             | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |    101785 | NS      | $13202532.35  | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42280 | PA      | $40221.53     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1219000 | PA      | $1256855.85   | 0.13%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341421 | PA      | $323717.67    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785986 | PA      | $781804.52    | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3849 | PA      | $3851.37      | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                             | Union Pacific Corp.                                                           | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |      9944 | NS      | $2059104.08   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439644 | PA      | $431518.63    | 0.05%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                | McDonald's Corp.                                                              | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |     42362 | NS      | $11163657.86  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Cold Storage Trust                             | Cold Storage Trust                                                            | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585862 | PA      | $567106.61    | 0.06%             | 2037-11-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments, Inc.                                                         | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    566000 | PA      | $448518.89    | 0.05%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740014 | PA      | $683815.28    | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    893000 | PA      | $822299.08    | 0.09%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282158 | PA      | $1183077.84   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                         | UnitedHealth Group, Inc.                                                      | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     39497 | NS      | $20940519.46  | 2.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    958603 | PA      | $951937.20    | 0.10%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    301667 | PA      | $305424.30    | 0.03%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1614000 | PA      | $1587111.52   | 0.17%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $868287.31    | 0.09%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                          | Athene Global Funding                                                         | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    800000 | PA      | $661993.19    | 0.07%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1601065 | PA      | $1610220.17   | 0.17%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57215 | PA      | $49520.39     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                   | Centene Corp.                                                                 | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2116937.63   | 0.23%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust                                                  | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710564 | PA      | $684708.57    | 0.07%             | 2032-03-20      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50641 | PA      | $49035.38     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224189 | PA      | $1243757.90   | 0.13%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15438 | PA      | $15388.91     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56576 | PA      | $52296.48     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust                                                  | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170724 | PA      | $163426.07    | 0.02%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163180 | PA      | $144969.89    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TPI Re-Remic Trust                             | TPI RE-REMIC Trust                                                            | CUSIP: 872659AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292000 | PA      | $280731.57    | 0.03%             | 2046-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38719 | PA      | $38422.06     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549844 | PA      | $538366.92    | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hilton Worldwide Holdings Inc                  | Hilton Worldwide Holdings, Inc.                                               | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     67603 | NS      | $8542315.08   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes                                       | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157739 | PA      | $151718.38    | 0.02%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE C0-ISSUER INC                       | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.                          | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    476000 | PA      | $355505.36    | 0.04%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                     | FIXED INC CLEARING CORP.REPO                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  44081112 | PA      | $44081112.18  | 4.72%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40791 | PA      | $38942.76     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes     | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306824 | PA      | $308343.37    | 0.03%             | 2042-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                | Nordea Bank Abp                                                               | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1253000 | PA      | $1260846.62   | 0.14%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1652279 | PA      | $1536214.09   | 0.16%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST REPUBLIC BANK                            | First Republic Bank                                                           | CUSIP: 33616CAC4<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |    385000 | PA      | $300727.23    | 0.03%             | 2047-02-13      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup, Inc.                                                               | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1369000 | PA      | $1281572.07   | 0.14%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20742000 | PA      | $20440592.81  | 2.19%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113277 | PA      | $108225.51    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49542 | PA      | $47253.42     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                            | Charles Schwab Corp.                                                          | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    501000 | PA      | $399522.45    | 0.04%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    934406 | PA      | $886582.75    | 0.10%             | 2041-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust                                                                     | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425610 | PA      | $404007.54    | 0.04%             | 2055-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp.                                                         | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    456000 | PA      | $421479.92    | 0.05%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments, Inc.                                                         | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    832000 | PA      | $805424.09    | 0.09%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51006 | PA      | $47749.98     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                        | HCA, Inc.                                                                     | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    408000 | PA      | $408317.86    | 0.04%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                     | AbbVie, Inc.                                                                  | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     76672 | NS      | $12390961.92  | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES CLO Ltd                                   | ARES LX CLO Ltd.                                                              | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243174.75    | 0.03%             | 2034-07-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp.                                                         | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    993000 | PA      | $953638.34    | 0.10%             | 2024-09-05      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    632000 | PA      | $555066.29    | 0.06%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                     | Hasbro, Inc.                                                                  | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    347000 | PA      | $341418.04    | 0.04%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610355 | PA      | $556269.07    | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690731 | PA      | $591750.42    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                              | Ares Capital Corp.                                                            | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    823000 | PA      | $698558.54    | 0.07%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2828807 | PA      | $2728379.09   | 0.29%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                           | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.                         | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    500000 | PA      | $405000.00    | 0.04%             | 2032-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                     | U.S. Bancorp                                                                  | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    235000 | PA      | $223719.45    | 0.02%             | 2033-07-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                             | Analog Devices, Inc.                                                          | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    534000 | PA      | $513111.18    | 0.05%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                   | Comcast Corp.                                                                 | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    307000 | PA      | $254657.10    | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                       | OWL Rock Core Income Corp.                                                    | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    113000 | PA      | $102030.37    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                             | BX Trust                                                                      | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242000 | PA      | $198848.67    | 0.02%             | 2041-12-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2523627 | PA      | $2430962.57   | 0.26%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                               | COLT Mortgage Loan Trust                                                      | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17290 | PA      | $16907.54     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                 | ACM Auto Trust                                                                | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107822 | PA      | $107545.54    | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                           | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.                         | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    375000 | PA      | $356820.00    | 0.04%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15318 | PA      | $13754.10     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                       | Vantage Data Centers LLC                                                      | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    596000 | PA      | $490431.41    | 0.05%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886000 | PA      | $863803.22    | 0.09%             | 2039-05-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                         | Mitsubishi UFJ Financial Group, Inc.                                          | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    654000 | PA      | $647747.57    | 0.07%             | 2025-07-18      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                   | Thermo Fisher Scientific, Inc.                                                | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     17619 | NS      | $9702607.11   | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust                                                 | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725955 | PA      | $694781.09    | 0.07%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp                          | Costco Wholesale Corp.                                                        | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     11725 | NS      | $5352462.50   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust     | Consumer Loan Underlying Bond CLUB Credit Trust                               | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253758 | PA      | $252280.56    | 0.03%             | 2026-10-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13362 | PA      | $11845.29     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TPI Re-Remic Trust                             | TPI RE-REMIC Trust                                                            | CUSIP: 872659AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396000 | PA      | $378397.52    | 0.04%             | 2046-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025552 | PA      | $919173.52    | 0.10%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794172 | PA      | $730713.11    | 0.08%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust                                                    | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278092 | PA      | $270251.06    | 0.03%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37194 | PA      | $38162.53     | 0.00%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166087 | PA      | $153252.86    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    784700 | PA      | $718766.81    | 0.08%             | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd                      | Regatta XXIII Funding Ltd.                                                    | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    264465 | PA      | $252001.56    | 0.03%             | 2035-01-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                         | GE HealthCare Technologies, Inc.                                              | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    933000 | PA      | $945703.88    | 0.10%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp            | Cognizant Technology Solutions Corp.                                          | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |     61085 | NS      | $3493451.15   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510037 | PA      | $508420.34    | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                          | Theorem Funding Trust                                                         | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369964 | PA      | $364013.66    | 0.04%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup, Inc.                                                               | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    496000 | PA      | $453220.00    | 0.05%             | 2025-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NIKE Inc                                       | NIKE, Inc.                                                                    | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     92477 | NS      | $10820733.77  | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust                                                              | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287000 | PA      | $274000.82    | 0.03%             | 2036-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                | VMC Finance LLC                                                               | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    454238 | PA      | $438455.98    | 0.05%             | 2037-01-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                     | Hasbro, Inc.                                                                  | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    422000 | PA      | $361290.04    | 0.04%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| State Street Global Advisors                   | State Street Navigator Securities Lending Government Money Market Portfolio   | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |  54986059 | NS      | $54986058.75  | 5.89%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust 2019-OC11                             | BX Trust                                                                      | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $397232.07    | 0.04%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                       | Microchip Technology, Inc.                                                    | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    946000 | PA      | $928329.68    | 0.10%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20943000 | PA      | $21450213.28  | 2.30%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132Y2B54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7121 | PA      | $7100.67      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                       | Vantage Data Centers LLC                                                      | CUSIP: 92212KAB2<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $816464.57    | 0.09%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                           | Libra Solutions LLC                                                           | CUSIP: 53161MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264532 | PA      | $263126.93    | 0.03%             | 2034-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes                                       | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    588356 | PA      | $574394.06    | 0.06%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                 | Barings CLO Ltd.                                                              | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    404144 | PA      | $400956.55    | 0.04%             | 2029-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp                          | General Dynamics Corp.                                                        | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |     31401 | NS      | $7790902.11   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                                     | Affirm Asset Securitization Trust                                             | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $535852.22    | 0.06%             | 2026-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                         | Commonwealth Bank of Australia                                                | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    966000 | PA      | $798959.05    | 0.09%             | 2032-03-14      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418386 | PA      | $386174.25    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KE39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272869 | PA      | $272554.15    | 0.03%             | 2042-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments, Inc.                                                         | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    570000 | PA      | $498110.72    | 0.05%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                     | U.S. Bancorp                                                                  | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    857000 | PA      | $654389.83    | 0.07%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105938 | PA      | $102375.82    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                   | Comcast Corp.                                                                 | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    285417 | NS      | $9981032.49   | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercury Financial Credit Card Master Trust     | Mercury Financial Credit Card Master Trust                                    | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $656389.91    | 0.07%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                       | MSCI, Inc.                                                                    | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    992000 | PA      | $824600.00    | 0.09%             | 2030-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39339 | PA      | $34881.76     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                        | HCA, Inc.                                                                     | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    187000 | PA      | $185087.17    | 0.02%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $751094.65    | 0.08%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9365000 | PA      | $9414751.56   | 1.01%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MED Trust                                      | Med Trust                                                                     | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611000 | PA      | $561977.88    | 0.06%             | 2038-11-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446000 | PA      | $1344867.92   | 0.14%             | 2041-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                              | Brown & Brown, Inc.                                                           | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    845000 | PA      | $686607.35    | 0.07%             | 2052-03-17      | Fixed         | 4.95%                 | 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              | CORP              | US        |     73000 | PA      | $69071.87     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                 | HPS Loan Management Ltd.                                                      | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237628.50    | 0.03%             | 2035-01-23      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375626 | PA      | $349398.44    | 0.04%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                            | LL ABS Trust                                                                  | CUSIP: 75526GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264932 | PA      | $263963.53    | 0.03%             | 2030-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17729 | PA      | $17413.99     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Medtronic PLC                                  | Medtronic PLC                                                                 | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |     30352 | NS      | $2358957.44   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust                                                       | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2222414 | PA      | $1855542.58   | 0.20%             | 2051-12-30      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | Credit Suisse Mortgage Capital Certificates                                   | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1305436.04   | 0.14%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Corteva Inc                                    | Corteva, Inc.                                                                 | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |     82776 | NS      | $4865573.28   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                        | GLP Capital LP/GLP Financing II, Inc.                                         | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    333000 | PA      | $326782.26    | 0.04%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $720391.21    | 0.08%             | 2036-09-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10982 | PA      | $9683.70      | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Advanced Micro Devices Inc                     | Advanced Micro Devices, Inc.                                                  | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     50189 | NS      | $3250741.53   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust                                                  | CUSIP: 91679TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029339 | PA      | $1006333.57   | 0.11%             | 2032-05-20      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                         | UnitedHealth Group, Inc.                                                      | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    412000 | PA      | $421834.27    | 0.05%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    890455 | PA      | $885846.88    | 0.09%             | 2042-09-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134571 | PA      | $115578.04    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824690 | PA      | $806515.13    | 0.09%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                          | Texas Instruments, Inc.                                                       | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     43605 | NS      | $7204418.10   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| CME Group Inc                                  | CME Group, Inc.                                                               | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     34617 | NS      | $5821194.72   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932000 | PA      | $885854.16    | 0.09%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733000 | PA      | $691024.61    | 0.07%             | 2036-09-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578047 | PA      | $588254.40    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49566 | PA      | $45816.71     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17140 | PA      | $16102.53     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927602 | PA      | $878644.72    | 0.09%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos Inc/The                       | Estee Lauder Cos., Inc.                                                       | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      6732 | NS      | $1670276.52   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85228 | PA      | $80885.78     | 0.01%             | 2049-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I, LLC              | CP EF Asset Securitization I LLC                                              | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365066 | PA      | $359108.15    | 0.04%             | 2030-04-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147557 | PA      | $147053.32    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255652 | PA      | $243821.20    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                                 | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4316930 | PA      | $3746273.30   | 0.40%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76555 | PA      | $76364.85     | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                     | Zoetis, Inc.                                                                  | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     29711 | NS      | $4354147.05   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366143 | PA      | $328581.19    | 0.04%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                        | Sun Communities Operating LP                                                  | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |    898000 | PA      | $711173.83    | 0.08%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747583 | PA      | $717342.07    | 0.08%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88840 | PA      | $87797.15     | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    409395 | PA      | $407943.88    | 0.04%             | 2042-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    616000 | PA      | $542640.44    | 0.06%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| CBRE Group Inc                                 | CBRE Group, Inc.                                                              | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |     30656 | NS      | $2359285.76   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    315000 | PA      | $315172.27    | 0.03%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| HCRX INVESTMENTS HOLDCO LP                     | HCRX Investments Holdco LP                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    929309 | PA      | $922339.63    | 0.10%             | 2028-07-14      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Procter & Gamble Co/The                        | Procter & Gamble Co.                                                          | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |     57667 | NS      | $8740010.52   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84697 | PA      | $79583.31     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391370 | PA      | $382439.39    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                             | Cold Storage Trust                                                            | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587828 | PA      | $568641.08    | 0.06%             | 2037-11-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    414000 | PA      | $364837.50    | 0.04%             | 2025-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15669 | PA      | $14656.71     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614736 | PA      | $592633.33    | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68761 | PA      | $63539.11     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                       | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.                          | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $439252.80    | 0.05%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135978 | PA      | $134381.48    | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69499 | PA      | $64552.30     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                 | Air Lease Corp.                                                               | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    817000 | PA      | $710607.54    | 0.08%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13027 | PA      | $12703.28     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453373 | PA      | $433406.95    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | JP Morgan Chase Commercial Mortgage Securities Trust                          | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $783562.25    | 0.08%             | 2037-01-10      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust                                                   | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418786 | PA      | $406704.14    | 0.04%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                         | GE HealthCare Technologies, Inc.                                              | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1142654.35   | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                     | Hasbro, Inc.                                                                  | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |     44848 | NS      | $2736176.48   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp                                 | Microsoft Corp.                                                               | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    168490 | NS      | $40407271.80  | 4.33%             |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTERNATIONAL                         | Mondelez International, Inc.                                                  | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     68000 | PA      | $58733.49     | 0.01%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                         | Marvell Technology, Inc.                                                      | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    378000 | PA      | $360910.39    | 0.04%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust                                                | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230644 | PA      | $228383.42    | 0.02%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes         | NRZ Excess Spread-Collateralized Notes                                        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200744 | PA      | $183031.34    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668630 | PA      | $576712.10    | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57121 | PA      | $51100.55     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582539 | PA      | $517073.25    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUST                | Spruce Hill Mortgage Loan Trust                                               | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7302 | PA      | $7210.30      | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240425 | PA      | $241180.23    | 0.03%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                            | Elmwood CLO II Ltd.                                                           | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    339000 | PA      | $330980.62    | 0.04%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                         | Tesla Auto Lease Trust                                                        | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394000 | PA      | $371249.18    | 0.04%             | 2025-09-22      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Rockwell Automation Inc                        | Rockwell Automation, Inc.                                                     | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |     12028 | NS      | $3098051.96   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1203654 | PA      | $1164272.82   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                           | GCAT Trust                                                                    | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1833003 | PA      | $1530414.73   | 0.16%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                   | Stryker Corp.                                                                 | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     16336 | NS      | $3993988.64   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC                         | Trane Technologies PLC                                                        | CUSIP: 000000000<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |     24627 | NS      | $4139552.43   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69675 | PA      | $65165.19     | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63605 | PA      | $59776.92     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88585 | PA      | $78537.06     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557010 | PA      | $529422.44    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                       | Constellation Brands, Inc.                                                    | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     17870 | NS      | $4141372.50   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                                    | NVIDIA Corp.                                                                  | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     52074 | NS      | $7610094.36   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625377 | PA      | $622019.36    | 0.07%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                   | Chevron Corp.                                                                 | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9542 | NS      | $1712693.58   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217051 | PA      | $220059.60    | 0.02%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810986 | PA      | $774266.79    | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                            | SVB Financial Group                                                           | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1033000 | PA      | $591207.90    | 0.06%             | 2031-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2181938 | PA      | $1884540.80   | 0.20%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments, Inc.                                                         | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    378000 | PA      | $361346.02    | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186000 | PA      | $179057.59    | 0.02%             | 2038-05-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MED Trust                                      | Med Trust                                                                     | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    972000 | PA      | $901320.44    | 0.10%             | 2038-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237957 | PA      | $219568.95    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178043 | PA      | $180700.46    | 0.02%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| MKS INSTRUMENTS INC                            | MKS Instruments, Inc.                                                         | CUSIP: 000000000<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |   1086000 | PA      | $1070873.11   | 0.11%             | 2028-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331459 | PA      | $316775.44    | 0.03%             | 2028-12-26      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69670 | PA      | $65467.92     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | Credit Suisse Mortgage Capital Certificates                                   | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $276349.68    | 0.03%             | 2036-05-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2279629 | PA      | $2164772.92   | 0.23%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                | Bayview MSR Opportunity Master Fund Trust                                     | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380382 | PA      | $1152511.68   | 0.12%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40967 | PA      | $35096.84     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85901 | PA      | $79776.06     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10493383 | PA      | $9545358.10   | 1.02%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889057 | PA      | $869935.80    | 0.09%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                   | Alphabet, Inc.                                                                | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    199994 | NS      | $17745467.62  | 1.90%             |  |  |  | No            |                  1 | On Loan: No      |
| GXO LOGISTICS INC                              | GXO Logistics, Inc.                                                           | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    122000 | PA      | $90376.96     | 0.01%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492400 | PA      | $437197.01    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust                                                                   | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96175.32     | 0.01%             | 2038-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                   | Illumina, Inc.                                                                | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    483000 | PA      | $486716.13    | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                             | Diageo Capital PLC                                                            | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    606000 | PA      | $499211.13    | 0.05%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1117000 | PA      | $1052026.68   | 0.11%             | 2033-08-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                 | ACC Auto Trust                                                                | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304249 | PA      | $299004.77    | 0.03%             | 2026-07-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                        | HCA, Inc.                                                                     | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    264000 | PA      | $262842.01    | 0.03%             | 2028-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                             | Royalty Pharma PLC                                                            | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    782000 | PA      | $503453.06    | 0.05%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478720 | PA      | $464265.51    | 0.05%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                             | Walt Disney Co.                                                               | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     82318 | NS      | $7151787.84   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                        | GSK Consumer Healthcare Capital U.S. LLC                                      | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    554000 | PA      | $516538.88    | 0.06%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                       | Agree LP                                                                      | CUSIP: 008513AC7<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |    197000 | PA      | $148865.83    | 0.02%             | 2033-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                         | Southwestern Energy Co.                                                       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    619000 | PA      | $528991.21    | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                         | Mitsubishi UFJ Financial Group, Inc.                                          | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1067000 | PA      | $1043079.34   | 0.11%             | 2028-07-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: —       |
| Preston Ridge Partners Mortgage Trust          | Preston Ridge Partners Mortgage LLC                                           | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630114 | PA      | $567876.95    | 0.06%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114337 | PA      | $113974.84    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    755000 | PA      | $712169.26    | 0.08%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51443 | PA      | $51315.13     | 0.01%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172244 | PA      | $153476.86    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1894000 | PA      | $1537541.32   | 0.16%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                               | CIFC Funding Ltd.                                                             | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    250874 | PA      | $239546.29    | 0.03%             | 2035-01-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                     | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441081 | PA      | $354691.34    | 0.04%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes         | NRZ Excess Spread-Collateralized Notes                                        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    476040 | PA      | $415766.68    | 0.04%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                                 | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2272259 | PA      | $2206221.47   | 0.24%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1648155 | PA      | $1515744.82   | 0.16%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Corning Inc                                    | Corning, Inc.                                                                 | CUSIP: 219350105<br>LEI: 549300X2937PB0CJ7I56 | Long             | EC               | CORP              | US        |     62562 | NS      | $1998230.28   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13783600 | PA      | $13857363.76  | 1.49%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218854 | PA      | $187968.59    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                | Bayview MSR Opportunity Master Fund Trust                                     | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712360 | PA      | $648043.96    | 0.07%             | 2051-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29299 | PA      | $27535.80     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust                                                        | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52777 | PA      | $43869.10     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34087 | PA      | $33211.81     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11106 | PA      | $9935.31      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73591 | PA      | $70000.12     | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743276 | PA      | $655331.62    | 0.07%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | Preston Ridge Partners Mortgage LLC                                           | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045501 | PA      | $989190.44    | 0.11%             | 2027-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55742 | PA      | $53642.97     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47011 | PA      | $44709.45     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892956 | PA      | $849205.32    | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | 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        |    757440 | PA      | $716814.71    | 0.08%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $2067.18      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust                                         | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414514 | PA      | $387301.91    | 0.04%             | 2040-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329987 | PA      | $318148.79    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137751 | PA      | $134885.47    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                | TJX Cos., Inc.                                                                | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     98142 | NS      | $7812103.20   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                             | Energy Transfer LP                                                            | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     78000 | PA      | $75556.84     | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34314 | PA      | $29471.19     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300893 | PA      | $287306.89    | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                           | SMRT Commercial Mortgage Trust                                                | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451000 | PA      | $435177.07    | 0.05%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18538 | PA      | $17413.89     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp                          | Monster Beverage Corp.                                                        | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     83995 | NS      | $8528012.35   | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685502 | PA      | $658083.72    | 0.07%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73294 | PA      | $68442.09     | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    635711 | PA      | $639188.66    | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17829 | PA      | $16750.33     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                            | SVB Financial Group                                                           | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1337000 | PA      | $877137.13    | 0.09%             | 2026-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Hershey Co/The                                 | Hershey Co.                                                                   | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |     20124 | NS      | $4660114.68   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1104000 | PA      | $832470.13    | 0.09%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                       | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                       | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    774000 | PA      | $720032.32    | 0.08%             | 2027-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems Inc                     | Cadence Design Systems, Inc.                                                  | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     12883 | NS      | $2069525.12   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99393 | PA      | $85033.53     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                           | Libra Solutions LLC                                                           | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259134 | PA      | $254213.00    | 0.03%             | 2034-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222529 | PA      | $1047333.21   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL           | BX Commercial Mortgage Trust                                                  | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1074797 | PA      | $1061546.10   | 0.11%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp.                                                         | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    173000 | PA      | $167637.26    | 0.02%             | 2023-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19623 | PA      | $19191.54     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249827 | PA      | $234757.81    | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                         | Intuitive Surgical, Inc.                                                      | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      8906 | NS      | $2363207.10   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Mortgage Trust                                                          | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422000 | PA      | $414550.94    | 0.04%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64916 | PA      | $60437.21     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                 | 280 Park Avenue Mortgage Trust                                                | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592515 | PA      | $577577.34    | 0.06%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    449599 | PA      | $445337.42    | 0.05%             | 2042-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                               | Bank of Montreal                                                              | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2205000 | PA      | $1672891.05   | 0.18%             | 2037-01-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust                                           | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    118979 | PA      | $114346.13    | 0.01%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                 | Mastercard, Inc.                                                              | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     56071 | NS      | $19497568.83  | 2.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KMA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525102 | PA      | $516029.89    | 0.06%             | 2041-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    189903 | PA      | $188953.72    | 0.02%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178585 | PA      | $170660.07    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     79000 | PA      | $76770.39     | 0.01%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4381987 | PA      | $4321049.99   | 0.46%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp.                                                         | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    324676 | NS      | $10753269.12  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14846 | PA      | $14305.59     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279951 | PA      | $266859.40    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23072 | PA      | $22026.24     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes     | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471336 | PA      | $465988.74    | 0.05%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                             | Energy Transfer LP                                                            | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    603000 | PA      | $597066.48    | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185627 | PA      | $171070.65    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                           | Westpac Banking Corp.                                                         | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    841000 | PA      | $626089.46    | 0.07%             | 2035-11-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                             | Home Depot, Inc.                                                              | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     30409 | NS      | $9604986.74   | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust                                                 | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759271 | PA      | $725720.26    | 0.08%             | 2038-04-15      | Floating      | 5.67%                 | 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        |    221000 | PA      | $200144.86    | 0.02%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC             | Diamond Infrastructure Funding LLC                                            | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821000 | PA      | $673372.13    | 0.07%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                         | Tesla Auto Lease Trust                                                        | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202000 | PA      | $188480.69    | 0.02%             | 2025-09-22      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                                 | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3427941 | PA      | $3247308.43   | 0.35%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87008 | PA      | $82883.04     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                       | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    655000 | PA      | $549858.79    | 0.06%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515253 | PA      | $470919.58    | 0.05%             | 2051-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296937 | PA      | $247824.05    | 0.03%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation             | Chase Mortgage Finance Corp.                                                  | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728363 | PA      | $659709.64    | 0.07%             | 2050-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157202 | PA      | $153818.18    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4202396 | PA      | $3829999.05   | 0.41%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                              | Brown & Brown, Inc.                                                           | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    291000 | PA      | $253132.70    | 0.03%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143433 | PA      | $132431.24    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                            | Global Payments, Inc.                                                         | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    513000 | PA      | $500109.34    | 0.05%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72355 | PA      | $72391.65     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                            | Abbott Laboratories                                                           | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     73120 | NS      | $8027844.80   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| AGREE LP                                       | Agree LP                                                                      | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |    630000 | PA      | $517281.36    | 0.06%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600987 | PA      | $549892.00    | 0.06%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93661 | PA      | $91601.33     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26982 | PA      | $26377.67     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141460 | PA      | $134738.17    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405751 | PA      | $411762.70    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                            | CBAM Ltd.                                                                     | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    308466 | PA      | $293259.55    | 0.03%             | 2035-01-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340008 | PA      | $342048.21    | 0.04%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242431 | PA      | $1037333.17   | 0.11%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    307778 | PA      | $260985.23    | 0.03%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70207 | PA      | $68622.78     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72389 | PA      | $65329.53     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644441 | PA      | $555094.43    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28281 | PA      | $27527.91     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                           | Parker-Hannifin Corp.                                                         | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |     11730 | NS      | $3413430.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    423821 | PA      | $418399.96    | 0.04%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                               | CIFC Funding Ltd.                                                             | CUSIP: 12567HAC6<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    375000 | PA      | $365352.75    | 0.04%             | 2035-01-23      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                       | Madison Park Funding XXXV Ltd.                                                | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245699.00    | 0.03%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust  | JP Morgan Chase Commercial Mortgage Securities Trust                          | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $525683.87    | 0.06%             | 2037-01-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800309 | PA      | $3339691.79   | 0.36%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65799 | PA      | $63748.84     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust | Foursight Capital Automobile Receivables Trust                                | CUSIP: 35105WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $289914.23    | 0.03%             | 2026-01-15      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 48 LTD             | Octagon Investment Partners 48 Ltd.                                           | CUSIP: 67577UAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    351000 | PA      | $341448.24    | 0.04%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172915 | PA      | $159602.13    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                    | Goldman Sachs Group, Inc.                                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     15355 | NS      | $5272599.90   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                     | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390554 | PA      | $1162742.51   | 0.12%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    527000 | PA      | $496556.26    | 0.05%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | Preston Ridge Partners Mortgage LLC                                           | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721540 | PA      | $667926.20    | 0.07%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust                                                      | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176050 | PA      | $157733.73    | 0.02%             | 2065-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    228159 | PA      | $213899.06    | 0.02%             | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    464000 | PA      | $437639.56    | 0.05%             | 2041-12-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust                                                                    | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583899 | PA      | $557570.02    | 0.06%             | 2023-04-15      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                         | Marvell Technology, Inc.                                                      | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    732000 | PA      | $647261.66    | 0.07%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Sysco Corp                                     | Sysco Corp.                                                                   | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |     75384 | NS      | $5763106.80   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL DYNAMICS CORP                          | General Dynamics Corp.                                                        | CUSIP: 369550BL1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    402000 | PA      | $384404.40    | 0.04%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17751 | PA      | $17375.23     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83381 | PA      | $77708.82     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    949000 | PA      | $784208.46    | 0.08%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5812000 | PA      | $5786572.50   | 0.62%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                        | Sherwin-Williams Co.                                                          | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     13485 | NS      | $3200395.05   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236824 | PA      | $235010.54    | 0.03%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust                                                    | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860809 | PA      | $847050.58    | 0.09%             | 2027-06-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust                                                              | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258000 | PA      | $248677.97    | 0.03%             | 2036-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167877 | PA      | $159562.43    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                       | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.                          | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $438881.96    | 0.05%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42751 | PA      | $44735.78     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                     | Deere & Co.                                                                   | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |     28669 | NS      | $12292120.44  | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111150 | PA      | $104445.35    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256239 | PA      | $236187.40    | 0.03%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317172 | PA      | $301910.17    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                        | Charles Schwab Corp.                                                          | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |     57366 | NS      | $4776293.16   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust                                           | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $376751.30    | 0.04%             | 2026-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust         | Santander Drive Auto Receivables Trust                                        | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359000 | PA      | $1302892.46   | 0.14%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75235 | PA      | $73435.35     | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                           | Bank of America Corp.                                                         | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    916000 | PA      | $772403.12    | 0.08%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7450700 | PA      | $6375587.24   | 0.68%             | 2028-08-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284711 | PA      | $267469.36    | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17092 | PA      | $15995.02     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                     | Hasbro, Inc.                                                                  | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1442000 | PA      | $1284905.94   | 0.14%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corp                      | Edwards Lifesciences Corp.                                                    | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     31391 | NS      | $2342082.51   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255776 | PA      | $254965.46    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                               | CoStar Group, Inc.                                                            | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    497000 | PA      | $407106.52    | 0.04%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR Trust                                  | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17596 | PA      | $17595.87     | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72931 | PA      | $70174.18     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83071 | PA      | $77329.18     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | BNP Paribas SA                                                                | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    525000 | PA      | $415944.67    | 0.04%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| CENTENE CORP                                   | Centene Corp.                                                                 | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    491000 | PA      | $402496.87    | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199425 | PA      | $202916.06    | 0.02%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                       | Hess Midstream Operations LP                                                  | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $425504.99    | 0.05%             | 2028-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105991 | PA      | $99143.16     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                            | American Express Co.                                                          | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    817000 | PA      | $787944.24    | 0.08%             | 2033-05-26      | Fixed         | 4.99%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116486 | PA      | $103546.71    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105469 | PA      | $90354.71     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                       | OWL Rock Core Income Corp.                                                    | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    678000 | PA      | $676782.81    | 0.07%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73017 | PA      | $67956.48     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121857 | PA      | $112301.18    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116896 | PA      | $100917.41    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust                                                                     | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324000 | PA      | $288715.75    | 0.03%             | 2039-06-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes     | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839759 | PA      | $837993.58    | 0.09%             | 2050-11-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                              | TSMC Arizona Corp.                                                            | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    669000 | PA      | $644028.04    | 0.07%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TE Connectivity Ltd                            | TE Connectivity Ltd.                                                          | CUSIP: 000000000<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | CH        |     39431 | NS      | $4526678.80   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116634 | PA      | $108241.01    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MED Trust                                      | Med Trust                                                                     | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $205211.45    | 0.02%             | 2038-11-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24217000 | PA      | $20137949.06  | 2.16%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1203000 | PA      | $922793.41    | 0.10%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC          | New Economy Assets Phase 1 Sponsor LLC                                        | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353000 | PA      | $290357.57    | 0.03%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                 | Morgan Stanley                                                                | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    990000 | PA      | $920669.68    | 0.10%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC    | BBCMS Trust                                                                   | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $665943.92    | 0.07%             | 2035-08-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust                                                  | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131194 | PA      | $128023.08    | 0.01%             | 2037-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440186 | PA      | $417773.32    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252184 | PA      | $232482.00    | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80337 | PA      | $77791.95     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21171 | PA      | $19834.62     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp                                 | Starbucks Corp.                                                               | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |     78627 | NS      | $7799798.40   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust                                                 | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345085 | PA      | $1304485.63   | 0.14%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Trimble Inc                                    | Trimble, Inc.                                                                 | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |    853000 | PA      | $843637.15    | 0.09%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                 | NRG Energy, Inc.                                                              | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    938000 | PA      | $753559.77    | 0.08%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3134000 | PA      | $2254153.98   | 0.24%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34515 | PA      | $32892.85     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2678561 | PA      | $2463377.61   | 0.26%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8231 | PA      | $7400.85      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                              | Cedar Funding XI CLO Ltd.                                                     | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245159.00    | 0.03%             | 2032-05-29      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                             | Diageo Capital PLC                                                            | CUSIP: 25243YBC2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183567.08    | 0.02%             | 2025-09-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                               | CIFC Funding Ltd.                                                             | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    416000 | PA      | $409299.07    | 0.04%             | 2031-07-18      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322757 | PA      | $306777.24    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65851 | PA      | $58409.21     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12492 | PA      | $12040.87     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15317 | PA      | $14327.90     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                       | Prudential Financial, Inc.                                                    | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1066000 | PA      | $899586.74    | 0.10%             | 2050-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203222 | PA      | $199857.09    | 0.02%             | 2042-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2854118 | PA      | $2559128.70   | 0.27%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38310 | PA      | $34911.66     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust                                                  | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254683 | PA      | $246538.44    | 0.03%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48239 | PA      | $46262.66     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    107955 | NS      | $9178334.10   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36009 | PA      | $35490.11     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                    | Workday, Inc.                                                                 | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    372000 | PA      | $348239.43    | 0.04%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740177 | PA      | $703489.98    | 0.08%             | 2038-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust                                            | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87268 | PA      | $86323.73     | 0.01%             | 2025-02-18      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199432 | PA      | $1027542.14   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634957 | PA      | $632944.76    | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441266 | PA      | $378507.31    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5076199 | PA      | $5092427.00   | 0.55%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                   | Centene Corp.                                                                 | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    919000 | PA      | $774921.31    | 0.08%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                 | Pagaya AI Debt Trust                                                          | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380217 | PA      | $365079.90    | 0.04%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    749013 | PA      | $743823.99    | 0.08%             | 2050-12-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432493 | PA      | $383504.02    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust                                                              | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526000 | PA      | $510774.67    | 0.05%             | 2036-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21604 | PA      | $20560.11     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                     | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590382 | PA      | $470045.75    | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                              | Lam Research Corp.                                                            | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |     22660 | NS      | $9523998.00   | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL           | BX Commercial Mortgage Trust                                                  | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317900 | PA      | $312296.22    | 0.03%             | 2036-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78344 | PA      | $73588.24     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2273799 | PA      | $2024569.32   | 0.22%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                | JPMorgan Chase Bank NA - CACLN                                                | CUSIP: 46591HBR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153926 | PA      | $148794.90    | 0.02%             | 2028-09-25      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                 | Barings CLO Ltd.                                                              | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |    926000 | PA      | $912823.02    | 0.10%             | 2031-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172308 | PA      | $160345.44    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82492 | PA      | $78296.11     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust                                                           | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464178 | PA      | $421060.19    | 0.05%             | 2051-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184886 | PA      | $173680.98    | 0.02%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KLA Corp                                       | KLA Corp.                                                                     | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      9955 | NS      | $3753333.65   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86338 | PA      | $82426.02     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                 | VCAT LLC                                                                      | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146260 | PA      | $138075.58    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    392000 | PA      | $358652.83    | 0.04%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                            | SVB Financial Group                                                           | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    239000 | PA      | $157744.78    | 0.02%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709969 | PA      | $675729.54    | 0.07%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48680 | PA      | $48560.93     | 0.01%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287094 | PA      | $272702.32    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16740 | PA      | $16009.84     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                            | Sound Point CLO XXII Ltd.                                                     | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1088000 | PA      | $1064810.37   | 0.11%             | 2032-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                       | EQT Corp.                                                                     | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    318000 | PA      | $316272.00    | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                      | Apple, Inc.                                                                   | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    193271 | NS      | $25111701.03  | 2.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                  | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661971 | PA      | $596079.20    | 0.06%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107829 | PA      | $93526.05     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1278844 | PA      | $1238322.84   | 0.13%             | 2038-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2767370 | PA      | $2447341.62   | 0.26%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                           | Conn's Receivables Funding LLC                                                | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       530 | PA      | $528.67       | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                       | EQT Corp.                                                                     | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    738000 | PA      | $734914.61    | 0.08%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| RELIANCE STEEL & ALUM                          | Reliance Steel & Aluminum Co.                                                 | CUSIP: 759509AE2<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    396000 | PA      | $395930.47    | 0.04%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39531 | PA      | $35695.80     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                              | GXO Logistics, Inc.                                                           | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    554000 | PA      | $474910.90    | 0.05%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13497 | PA      | $12892.35     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                       | Agree LP                                                                      | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |    313000 | PA      | $254862.83    | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust                                                                      | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $779399.59    | 0.08%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44327 | PA      | $42109.42     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                       | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.                          | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    443000 | PA      | $351050.07    | 0.04%             | 2029-03-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26359 | PA      | $25405.80     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23056 | PA      | $22222.79     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750181 | PA      | $702266.31    | 0.08%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                               | Westgate Resorts LLC                                                          | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224386 | PA      | $211476.79    | 0.02%             | 2036-08-20      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MED Trust                                      | Med Trust                                                                     | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219000 | PA      | $206917.90    | 0.02%             | 2038-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11324900 | PA      | $11281546.92  | 1.21%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608299 | PA      | $615440.65    | 0.07%             | 2042-06-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                       | Fox Corp.                                                                     | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    362000 | PA      | $357904.78    | 0.04%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co.                                                          | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1046340.77   | 0.11%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Notes                                                           | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    362000 | PA      | $364488.75    | 0.04%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Federal Home Loan Mortgage Corp. STACR REMIC Trust                            | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155420 | PA      | $155514.55    | 0.02%             | 2042-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust                                           | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562000 | PA      | $525482.20    | 0.06%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    376000 | PA      | $363969.20    | 0.04%             | 2042-04-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust                                                   | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269429 | PA      | $258952.52    | 0.03%             | 2038-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                       | MSCI, Inc.                                                                    | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     88000 | PA      | $76651.07     | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                       | MSCI, Inc.                                                                    | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    962000 | PA      | $799830.85    | 0.09%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                             | Cold Storage Trust                                                            | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1316224 | PA      | $1279869.14   | 0.14%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                | CSL Finance PLC                                                               | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $258666.08    | 0.03%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                  | Life Mortgage Trust                                                           | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $248952.10    | 0.03%             | 2039-05-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                       | AT&T, Inc.                                                                    | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    109000 | PA      | $73326.75     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                        | National Australia Bank Ltd.                                                  | CUSIP: 632525AY7<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   1103000 | PA      | $866183.58    | 0.09%             | 2031-05-21      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust        | Mello Mortgage Capital Acceptance                                             | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    636476 | PA      | $581712.31    | 0.06%             | 2051-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28730 | PA      | $27000.29     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29044 | PA      | $28131.57     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154179 | PA      | $136851.63    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3407106 | PA      | $2918857.20   | 0.31%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund                                    | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    684205 | PA      | $607796.08    | 0.07%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                   | UWM Mortgage Trust                                                            | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620298 | PA      | $562814.27    | 0.06%             | 2051-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369660 | PA      | $339962.96    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20385 | PA      | $17666.03     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                           | Booking Holdings, Inc.                                                        | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      1855 | NS      | $3738344.40   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                               | Duke Energy Corp.                                                             | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    643000 | PA      | $619880.41    | 0.07%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                 | Merck & Co., Inc.                                                             | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     98434 | NS      | $10921252.30  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                             | Energy Transfer LP                                                            | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    603000 | PA      | $589951.08    | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                  | Citigroup, Inc.                                                               | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    478000 | PA      | $465765.16    | 0.05%             | 2023-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134150 | PA      | $128071.47    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                               | COLT Mortgage Loan Trust                                                      | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62277 | PA      | $58211.46     | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                 | Eli Lilly & Co.                                                               | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     36640 | NS      | $13404377.60  | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391814 | PA      | $378661.95    | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                            | JPMorgan Chase & Co.                                                          | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     77139 | NS      | $10344339.90  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                 | Amazon.com, Inc.                                                              | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     83436 | NS      | $7008624.00   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236526 | PA      | $218636.09    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trimble Inc                                    | Trimble, Inc.                                                                 | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |    426000 | PA      | $409173.06    | 0.04%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUST                | Spruce Hill Mortgage Loan Trust                                               | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40892 | PA      | $40365.82     | 0.00%             | 2050-01-28      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                | Oceanview Mortgage Trust                                                      | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742116 | PA      | $621649.58    | 0.07%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                      | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201937 | PA      | $201506.14    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THL Credit Wind River 2019-1 CLO lTD           | THL Credit Wind River CLO Ltd.                                                | CUSIP: 97316JAC7<br>LEI: 549300TGVPUHSOMYKZ89 | Long             | ABS-CBDO         | CORP              | KY        |    314000 | PA      | $304512.80    | 0.03%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                         | GE HealthCare Technologies, Inc.                                              | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1603000 | PA      | $1666340.09   | 0.18%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                               | Federal National Mortgage Association Connecticut Avenue Securities           | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16443 | PA      | $16422.87     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                  | Citigroup, Inc.                                                               | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    109000 | PA      | $102814.25    | 0.01%             | 2024-05-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354051 | PA      | $342145.82    | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95576 | PA      | $92362.58     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                | CSL Finance PLC                                                               | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    529000 | PA      | $499707.19    | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC                                                       | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786121 | PA      | $680452.61    | 0.07%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bonds                                                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4850000 | PA      | $3729574.24   | 0.40%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| American Express Co                            | American Express Co.                                                          | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |     60974 | NS      | $9008908.50   | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67437 | PA      | $62315.54     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                           | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.                         | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    695000 | PA      | $531744.85    | 0.06%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                               | CIFC Funding Ltd.                                                             | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    812993 | PA      | $800239.58    | 0.09%             | 2033-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust          | Preston Ridge Partners Mortgage LLC                                           | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488143 | PA      | $470945.77    | 0.05%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26522 | PA      | $25903.51     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust                                                                     | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1387000 | PA      | $1353708.12   | 0.15%             | 2037-04-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                  | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455205 | PA      | $409851.20    | 0.04%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                         | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124035 | PA      | $121722.75    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                 | ConocoPhillips                                                                | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     81663 | NS      | $9636234.00   | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Logan CLO II Ltd                               | Logan CLO II Ltd.                                                             | CUSIP: 540544AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    582571 | PA      | $565808.68    | 0.06%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                              | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1783427 | PA      | $1814331.77   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Vincent Toner

**Name of Signer:** Vincent Toner

**Title:** Treasurer