# EDGAR Filing Document

**Accession Number:** 0000315754
**File Stem:** 0001145549-23-006681
**Filing Date:** 2023-2
**Character Count:** 393526
**Document Hash:** a7487d2baaa21bc2450c4327af12d9a1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-006681.hdr.sgml**: 20230216

**ACCESSION NUMBER**: 0001145549-23-006681

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230216

**DATE AS OF CHANGE**: 20230216

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** OHIO NATIONAL FUND INC
- **CENTRAL INDEX KEY:** 0000315754
- **IRS NUMBER:** 310978635
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03015
- **FILM NUMBER:** 23637925

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FINANCIAL WAY
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45242
- **BUSINESS PHONE:** 513-794-6230

**MAIL ADDRESS:**
- **STREET 1:** ONE FINANCIAL WAY
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45242

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ON MARKET YIELD FUND INC
- **DATE OF NAME CHANGE:** 19821026

## Series and Classes Contracts Data

### ON Risk Managed Balanced Portfolio (Series ID: S000045337)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000141102 | ON Risk Managed Balanced Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Ohio National Fund, Inc.

- **b. Investment Company Act file number:** 811-03015

- **c. CIK number of Registrant:** 0000315754

- **d. LEI of Registrant:** 5493003JP6LYED5W1C30

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

  - **Street Address 1:** One Financial Way

  - **City:** Cincinnati

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45242

  - **Telephone number:** 513-794-6971

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

- **a. Name of Series:** ON Risk Managed Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000045337

- **c. LEI of Series:** 549300S6XLJMD3IEBW77

**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:** $1179772181.75

**Total Liabilities:** $40621944.69

**Net Assets:** $1139150237.06

**Cash Not Reported:** $66283706.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 212.765278429558 | **1-Year:** 11954.819105773708 | **5-Year:** 43786.213249536797 | **10-Year:** 42857.927995750111 | **30-Year:** 34942.136988857783

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

- **3-Month:** 27.807372120297 | **1-Year:** 530.293298622875 | **5-Year:** 4151.552359498533 | **10-Year:** 2899.939842380877 | **30-Year:** 31.707399395622

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000141102 | 1.38%                | 4.40%                | -2.83%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4530206.13             | $42833078.56                               |
| Month 2  | $-1506380.66             | $50716394.58                               |
| Month 3  | $3219867.66              | $-38159779.99                              |

**Designated Index Information**

- **Index Name:** Fund's designated reference portfolio is the Fund Portfolio minus derivatives.

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                                                 | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fnma Pass-Thru I                                                                                     | FNMA POOL CB2538 FN 01/52 FIXED 2.5                     | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699008 | PA      | $595878.75    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL CB3564 FN 05/52 FIXED 2.5                     | CUSIP: 3140QN6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569936 | PA      | $485900.43    | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Paypal Holdings Incorporation                                                                        | PAYPAL HOLDINGS INC COMMON STOCK USD.0001               | CUSIP: 70450Y103<br>LEI: 5493005X2GO78EFZ3E94 | Long             | EC               | CORP              | US        |     38981 | NS      | $2776226.82   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International Inc.                                                                     | PHILIP MORRIS INTERNATIONAL COMMON STOCK                | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     28621 | NS      | $2896731.41   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL CB3565 FN 05/52 FIXED 2.5                     | CUSIP: 3140QN6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457769 | PA      | $389777.17    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL FM0029 FN 09/46 FIXED VAR                     | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183739 | PA      | $167198.28    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                                                                          | PHILLIPS 66 COMMON STOCK                                | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |     12358 | NS      | $1286220.64   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Pioneer Natural Resources Company                                                                    | PIONEER NATURAL RESOURCES CO COMMON STOCK USD.01        | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |      4395 | NS      | $1003774.05   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BALLYROCK CLO 17 LTD                                                                                 | BALLYROCK LTD BALLY 2021 17A A1A 144A                   | CUSIP: 05876LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $969818.30    | 0.09%             | 2034-10-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK CLO 17 LTD                                                                                 | BALLYROCK LTD BALLY 2021 17A C 144A                     | CUSIP: 05876LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $217733.89    | 0.02%             | 2034-10-20      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL FM1036 FN 05/43 FIXED VAR                     | CUSIP: 3140X4EJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93216 | PA      | $84828.03     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL FS0967 FN 03/52 FIXED VAR                     | CUSIP: 3140XGCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760214 | PA      | $648118.38    | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Price T Rowe Group                                                                                   | T ROWE PRICE GROUP INC COMMON STOCK USD.2               | CUSIP: 74144T108<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | EC               | CORP              | US        |     10439 | NS      | $1138477.34   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| The Procter & Gamble Company                                                                         | PROCTER + GAMBLE CO/THE COMMON STOCK                    | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |     13006 | NS      | $1971189.36   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                                                                             | AT+T INC COMMON STOCK USD1.0                            | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |     96718 | NS      | $1780578.38   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Abbott Laboratories                                                                                  | ABBOTT LABORATORIES COMMON STOCK                        | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     20469 | NS      | $2247291.51   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Banco Santander, S.A.                                                                                | BANCO SANTANDER SA SR UNSECURED 03/28 VAR               | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1669526.48   | 0.15%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Banco de Credito del Peru                                                                            | BANCO DE CREDITO DEL PER SUBORDINATED 144A 07/30 VAR    | CUSIP: 05971U2C0<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    244000 | PA      | $221096.89    | 0.02%             | 2030-07-01      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| AbbVie Inc.                                                                                          | ABBVIE INC COMMON STOCK USD.01                          | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     27293 | NS      | $4410821.73   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTRA ABIOMED INC COMMON STOCK                                                                      | CONTRA ABIOMED INC COMMON STOCK                         | CUSIP: 003CVR016<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4357 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                                          | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    501000 | PA      | $463622.12    | 0.04%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                                          | BANK OF AMERICA CORP SR UNSECURED 03/29 VAR             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    177000 | PA      | $163322.30    | 0.01%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                                                                            | ADOBE INC COMMON STOCK USD.0001                         | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |     19546 | NS      | $6577815.38   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Advance Auto Parts Inc.                                                                              | ADVANCE AUTO PARTS INC COMMON STOCK USD.0001            | CUSIP: 00751Y106<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | EC               | CORP              | US        |      4117 | NS      | $605322.51    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL MA3211 FN 12/47 FIXED 4                       | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42522 | PA      | $40669.82     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL MA3239 FN 01/48 FIXED 4                       | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6862 | PA      | $6546.22      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                                                          | FED CAISSES DESJARDINS SR UNSECURED 144A 08/27 4.55     | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    883000 | PA      | $848246.24    | 0.07%             | 2027-08-23      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                                  | FIFTH THIRD BANCORP JR SUBORDINA 12/99 VAR              | CUSIP: 316773DB3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     76000 | PA      | $70605.32     | 0.01%             | 2500-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRU FIAOT 2022 2A A 144A                                                  | FIRST INVESTORS AUTO OWNER TRU FIAOT 2022 2A A 144A     | CUSIP: 32058KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860956 | PA      | $859949.34    | 0.08%             | 2027-07-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Flatiron Clo 21 Ltd / Llc                                                                            | FLATIRON CLO LTD FLAT 2021 1A D 144A                    | CUSIP: 33883PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $233164.57    | 0.02%             | 2034-07-19      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| AECOM                                                                                                | AECOM COMMON STOCK USD.01                               | CUSIP: 00766T100<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | EC               | CORP              | US        |     17007 | NS      | $1444404.51   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Align Technology Inc.                                                                                | ALIGN TECHNOLOGY INC COMMON STOCK USD.0001              | CUSIP: 016255101<br>LEI: 549300N5YSE0U3LCP840 | Long             | EC               | CORP              | US        |      8345 | NS      | $1759960.50   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial Inc.                                                                                  | ALLY FINANCIAL INC COMMON STOCK USD.1                   | CUSIP: 02005N100<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EC               | CORP              | US        |     35492 | NS      | $867779.40    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc.                                                                                        | ALPHABET INC CL C COMMON STOCK USD.001                  | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    204723 | NS      | $18165071.79  | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corporation                                                                          | BANK OF AMERICA CORP SR UNSECURED 04/31 VAR             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1441000 | PA      | $1173602.16   | 0.10%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                                          | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR             | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    271000 | PA      | $259163.52    | 0.02%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                                                                            | BANK OF IRELAND GROUP SR UNSECURED 144A 09/26 VAR       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    354000 | PA      | $351162.08    | 0.03%             | 2026-09-16      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Barclays PLC                                                                                         | BARCLAYS PLC SR UNSECURED 11/28 VAR                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    889000 | PA      | $926629.66    | 0.08%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                                        | ALPHABET INC CL A COMMON STOCK USD.001                  | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |      4760 | NS      | $419974.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Altria Group, Inc.                                                                                   | ALTRIA GROUP INC COMMON STOCK USD.333                   | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     63086 | NS      | $2883661.06   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Battalion Clo Xvii Ltd/ Llc                                                                          | BATTALION CLO LTD BATLN 2021 17A A1 144A                | CUSIP: 07133PAA7<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $583429.30    | 0.05%             | 2034-03-09      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                                              | BAYER US FINANCE II LLC COMPANY GUAR 144A 07/35 5.5     | CUSIP: 07274NBA0<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    879000 | PA      | $840512.01    | 0.07%             | 2035-07-30      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                                     | AMAZON.COM INC COMMON STOCK USD.01                      | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     94280 | NS      | $7919520.00   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| American Electric Power Co, Inc.                                                                     | AMERICAN ELECTRIC POWER COMMON STOCK USD6.5             | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     32077 | NS      | $3045711.15   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| BELLEMEADE RE 2022-2 LTD                                                                             | BELLEMEADE RE LT BMIR 2022 2 M1A 144A                   | CUSIP: 07876GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    959476 | PA      | $942349.35    | 0.08%             | 2032-09-27      | Floating      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| BELLEMEADE RE LTD                                                                                    | BELLEMEADE RE LT BMIR 2021 1A M1C 144A                  | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    167482 | PA      | $159994.05    | 0.01%             | 2031-03-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Flowserve Corporation                                                                                | FLOWSERVE CORPORATION SR UNSECURED 01/32 2.8            | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |   1801000 | PA      | $1349030.14   | 0.12%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fomento Economico Mexicano S A B de C V                                                              | FOMENTO ECONOMICO MEX SR UNSECURED 01/50 3.5            | CUSIP: 344419AC0<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |    182000 | PA      | $127638.42    | 0.01%             | 2050-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                                                                   | AMERICAN INTERNATIONAL GROUP COMMON STOCK USD2.5        | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     25020 | NS      | $1582264.80   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| AmerisourceBergen Corporation                                                                        | AMERISOURCEBERGEN CORP COMMON STOCK USD.01              | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |      6794 | NS      | $1125833.74   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BELLEMEADE RE 2022-1 LTD                                                                             | BELLEMEADE RE LT BMIR 2022 1 M1C 144A                   | CUSIP: 078774AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327948 | PA      | $273868.52    | 0.02%             | 2032-01-26      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| BELLEMEADE RE LTD                                                                                    | BELLEMEADE RE LT BMIR 2021 3A A2 144A                   | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    286223 | PA      | $271220.76    | 0.02%             | 2031-09-25      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST                                                                         | FORD CREDIT AUTO OWNER TRUST/F FORDR 2021 1 D 144A      | CUSIP: 345340AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $199934.12    | 0.02%             | 2033-10-15      | Fixed         | 2.31%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Company                                                                                   | FORD MOTOR COMPANY SR UNSECURED 08/32 6.1               | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    441000 | PA      | $407200.66    | 0.04%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                       | BNP PARIBAS SR UNSECURED 144A 11/25 VAR                 | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2170000 | PA      | $2055594.08   | 0.18%             | 2025-11-19      | Fixed         | 2.82%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                       | BNP PARIBAS SR UNSECURED 144A 01/31 VAR                 | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    333000 | PA      | $272907.91    | 0.02%             | 2031-01-13      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Fox Corporation                                                                                      | FOX CORP SR UNSECURED 01/49 5.576                       | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   1068000 | PA      | $952860.06    | 0.08%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | MULTIFAMILY STRUCTURED CREDIT MSCR 2021 MN1 M1 144A     | CUSIP: 35563FAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |     29550 | PA      | $27654.52     | 0.00%             | 2051-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Ametek, Inc.                                                                                         | AMETEK INC COMMON STOCK USD.01                          | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |     16758 | NS      | $2341427.76   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corporation                                                                                 | AMPHENOL CORP CL A COMMON STOCK USD.001                 | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |     38223 | NS      | $2910299.22   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Booking Holdings Inc                                                                                 | BOOKING HOLDINGS INC SR UNSECURED 04/30 4.625           | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   1302000 | PA      | $1257443.53   | 0.11%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                                     | BP CAP MARKETS AMERICA COMPANY GUAR 06/51 2.939         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   2874000 | PA      | $1892249.16   | 0.17%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management, Inc.                                                                      | ANNALY CAPITAL MANAGEMENT IN REIT USD.01                | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     57057 | NS      | $1202761.56   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| APA Corp.                                                                                            | APA CORP COMMON STOCK USD.625                           | CUSIP: 03743Q108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     23424 | NS      | $1093432.32   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Bristol-Myers Squibb Company                                                                         | BRISTOL MYERS SQUIBB CO SR UNSECURED 07/29 3.4          | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    624000 | PA      | $577476.35    | 0.05%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                                         | BROADCOM INC COMPANY GUAR 11/30 4.15                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $1024301.92   | 0.09%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                                           | APPLE INC COMMON STOCK USD.00001                        | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     59757 | NS      | $7764227.01   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Arista Networks Inc                                                                                  | ARISTA NETWORKS INC COMMON STOCK USD.0001               | CUSIP: 040413106<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |     41348 | NS      | $5017579.80   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Autodesk Inc                                                                                         | AUTODESK INC COMMON STOCK USD.01                        | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |     11516 | NS      | $2151994.92   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Automatic Data Processing, Inc.                                                                      | AUTOMATIC DATA PROCESSING COMMON STOCK USD.1            | CUSIP: 053015103<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | EC               | CORP              | US        |      8933 | NS      | $2133736.38   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                                                                         | BROADCOM INC SR UNSECURED 144A 04/29 4                  | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     36000 | PA      | $32703.92     | 0.00%             | 2029-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                                                         | BROADCOM INC SR UNSECURED 144A 04/32 4.15               | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    123000 | PA      | $107976.56    | 0.01%             | 2032-04-15      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                                                         | BROADCOM INC SR UNSECURED 144A 05/37 4.926              | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157025.75    | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings, LLC/ CCO Holdings Capital Corp.                                                        | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 08/30 4.5      | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $48743.15     | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC   STACR STACR 2018 DNA2 B1 144A             | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1001553.90   | 0.09%             | 2030-12-26      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 HQA2 M1A 144A            | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    466297 | PA      | $468606.95    | 0.04%             | 2042-07-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Autozone, Inc.                                                                                       | AUTOZONE INC COMMON STOCK USD.01                        | CUSIP: 053332102<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | EC               | CORP              | US        |      2071 | NS      | $5107458.78   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Avantor Inc                                                                                          | AVANTOR INC COMMON STOCK USD.01                         | CUSIP: 05352A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     46139 | NS      | $973071.51    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 DNA3 B1 144A             | CUSIP: 35564KFG9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    278276 | PA      | $257380.17    | 0.02%             | 2033-10-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 HQA2 M1 144A             | CUSIP: 35564KFN4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    514874 | PA      | $510813.62    | 0.04%             | 2033-12-27      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings, LLC/ CCO Holdings Capital Corp.                                                        | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 06/33 4.5      | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    209000 | PA      | $160351.07    | 0.01%             | 2033-06-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings, LLC/ CCO Holdings Capital Corp.                                                        | CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 02/32 4.75     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    102000 | PA      | $82691.40     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA6 M1A 144A            | CUSIP: 35564KH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    441094 | PA      | $441362.89    | 0.04%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 DNA5 B1 144A             | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $913268.90    | 0.08%             | 2034-01-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| BJ Wholesale Club Holdings Inc                                                                       | BJ S WHOLESALE CLUB HOLDINGS COMMON STOCK USD.01        | CUSIP: 05550J101<br>LEI: 549300UCIWH1C93V0J03 | Long             | EC               | CORP              | US        |     11472 | NS      | $758987.52    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Baker Hughes Company                                                                                 | BAKER HUGHES CO COMMON STOCK USD.0001                   | CUSIP: 05722G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41039 | NS      | $1211881.67   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                                           | CDW LLC/CDW FINANCE COMPANY GUAR 04/28 4.25             | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1196000 | PA      | $1100714.68   | 0.10%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                                    | CIGNA CORP SR UNSECURED 03/40 3.2                       | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     52000 | PA      | $39231.47     | 0.00%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                                    | CIGNA CORP SR UNSECURED 03/50 3.4                       | CUSIP: 125523CK4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     78000 | PA      | $55281.00     | 0.00%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                                    | CIGNA CORP SR UNSECURED 03/30 2.4                       | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1334000 | PA      | $1117526.24   | 0.10%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                                              | BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01        | CUSIP: 064058100<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | EC               | CORP              | US        |     29362 | NS      | $1336558.24   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Baxter International, Inc.                                                                           | BAXTER INTERNATIONAL INC COMMON STOCK USD1.0            | CUSIP: 071813109<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | EC               | CORP              | US        |     19456 | NS      | $991672.32    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 HQA3 M2 144A             | CUSIP: 35564KJP5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $880225.40    | 0.08%             | 2041-09-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 DNA6 M2 144A             | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    393665 | PA      | $373969.63    | 0.03%             | 2041-10-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING 2020-IV LTD                                                                             | CIFC FUNDING LTD CIFC 2020 4A A 144A                    | CUSIP: 12562RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $254822.99    | 0.02%             | 2034-01-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                                                                           | CNH INDUSTRIAL CAP LLC COMPANY GUAR 05/25 3.95          | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    205000 | PA      | $198855.46    | 0.02%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc.                                                                              | BERKSHIRE HATHAWAY INC CL B COMMON STOCK USD.0033       | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |      8499 | NS      | $2625341.10   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Best Buy Inc                                                                                         | BEST BUY CO INC COMMON STOCK USD.1                      | CUSIP: 086516101<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | EC               | CORP              | US        |     10279 | NS      | $824478.59    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA7 M1A 144A            | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1135622 | PA      | $1139417.05   | 0.10%             | 2042-09-25      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 DNA7 M2 144A             | CUSIP: 35564KMH9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    986480 | PA      | $926483.96    | 0.08%             | 2041-11-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust 2021-C                                                                    | CPS AUTO TRUST CPS 2021 C D 144A                        | CUSIP: 12598CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $192365.23    | 0.02%             | 2027-06-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2015-LC23                                                                  | COMM MORTGAGE TRUST COMM 2015 LC23 C                    | CUSIP: 12636FBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $89471.06     | 0.01%             | 2048-10-13      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                                                                 | BOOKING HOLDINGS INC COMMON STOCK USD.008               | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |       927 | NS      | $1868164.56   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Booz Allen Hamilton Holding Corp.                                                                    | BOOZ ALLEN HAMILTON HOLDINGS COMMON STOCK USD.01        | CUSIP: 099502106<br>LEI: 529900JPV47PIUWMA015 | Long             | EC               | CORP              | US        |     16548 | NS      | $1729596.96   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2021 HQA4 M2 144A             | CUSIP: 35564KNS4<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-O            | USGSE             | US        |   1046349 | PA      | $923406.34    | 0.08%             | 2041-12-26      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA1 M1B 144A            | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1518194.40   | 0.13%             | 2042-01-27      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| BorgWarner Inc.                                                                                      | BORGWARNER INC COMMON STOCK USD.01                      | CUSIP: 099724106<br>LEI: 549300DSFX2IE88NSX47 | Long             | EC               | CORP              | US        |     20122 | NS      | $809910.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Boston Properties, Inc.                                                                              | BOSTON PROPERTIES INC REIT USD.01                       | CUSIP: 101121101<br>LEI: 549300OF70FSEUQBT254 | Long             | EC               | CORP              | US        |      8236 | NS      | $556588.88    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                                                                         | BROADCOM INC COMMON STOCK                               | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |      8999 | NS      | $5031610.87   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Builders Firstsource, Inc.                                                                           | BUILDERS FIRSTSOURCE INC COMMON STOCK USD.01            | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |     11632 | NS      | $754684.16    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA1 M2 144A             | CUSIP: 35564KQC6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    394327 | PA      | $356170.78    | 0.03%             | 2042-01-27      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA2 M2 144A             | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    295064 | PA      | $277491.26    | 0.02%             | 2042-02-25      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Cboe Global Markets Inc                                                                              | CBOE GLOBAL MARKETS INC COMMON STOCK                    | CUSIP: 12503M108<br>LEI: 529900RLNSGA90UPEH54 | Long             | EC               | CORP              | US        |      8844 | NS      | $1109656.68   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CDW Corp                                                                                             | CDW CORP/DE COMMON STOCK USD.01                         | CUSIP: 12514G108<br>LEI: 9845001B052ABF0B6755 | Long             | EC               | CORP              | US        |      8014 | NS      | $1431140.12   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Cigna Corporation                                                                                    | CIGNA CORP COMMON STOCK USD.01                          | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |      5086 | NS      | $1685195.24   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS Health Corp                                                                                      | CVS HEALTH CORP COMMON STOCK USD.01                     | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |     45456 | NS      | $4236044.64   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Coterra Energy Inc                                                                                   | CABOT OIL + GAS CORP COMMON STOCK USD.1                 | CUSIP: 127097103<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | EC               | CORP              | US        |     32464 | NS      | $797640.48    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Design Systems, Inc.                                                                         | CADENCE DESIGN SYS INC COMMON STOCK USD.01              | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     10590 | NS      | $1701177.60   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Camden Property Trust                                                                                | CAMDEN PROPERTY TRUST REIT USD.01                       | CUSIP: 133131102<br>LEI: 5493002MYX22OHYJBD89 | Long             | EC               | CORP              | US        |      5166 | NS      | $577972.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corporation                                                                    | CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01          | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |     12807 | NS      | $1190538.72   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Cardinal Health, Inc.                                                                                | CARDINAL HEALTH INC COMMON STOCK                        | CUSIP: 14149Y108<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | EC               | CORP              | US        |     15049 | NS      | $1156816.63   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Carmax Inc                                                                                           | CARMAX INC COMMON STOCK USD.5                           | CUSIP: 143130102<br>LEI: 529900F60CID3NCZM330 | Long             | EC               | CORP              | US        |      9829 | NS      | $598487.81    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 HQA1 M1B 144A            | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     65368 | PA      | $64815.93     | 0.01%             | 2042-03-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA3 M1A 144A            | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1160138 | PA      | $1154337.39   | 0.10%             | 2042-04-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Carrier Global Corporation                                                                           | CARRIER GLOBAL CORP COMMON STOCK USD.01                 | CUSIP: 14448C104<br>LEI: 549300JE3W6CWY2NAN77 | Long             | EC               | CORP              | US        |     23578 | NS      | $972592.50    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Celanese Corporation                                                                                 | CELANESE CORP COMMON STOCK USD.0001                     | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |      6120 | NS      | $625708.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA3 M1B 144A            | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1581012.64   | 0.14%             | 2042-04-25      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA3 M2 144A             | CUSIP: 35564KVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    200000 | PA      | $192069.60    | 0.02%             | 2042-04-25      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Centene Corporation                                                                                  | CENTENE CORP COMMON STOCK USD.001                       | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |     47226 | NS      | $3873004.26   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Centerpoint Energy Inc                                                                               | CENTERPOINT ENERGY INC COMMON STOCK USD.01              | CUSIP: 15189T107<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | EC               | CORP              | US        |     76995 | NS      | $2309080.05   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA4 M1B 144A            | CUSIP: 35564KWT2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1621038 | PA      | $1629643.44   | 0.14%             | 2042-05-27      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                        | FREDDIE MAC   STACR STACR 2022 DNA5 M1B 144A            | CUSIP: 35564KYP8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1331433 | PA      | $1392076.44   | 0.12%             | 2042-06-25      | Floating      | 8.43%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications, Inc.                                                                         | CHARTER COMMUNICATIONS INC A COMMON STOCK USD.001       | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | EC               | CORP              | US        |      2437 | NS      | $826386.70    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chesapeake Energy Corporation                                                                        | CHESAPEAKE ENERGY CORP COMMON STOCK USD.01              | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |      8472 | NS      | $799502.64    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Stacr Remic Trust 2019-Dna4                                                              | FREDDIE MAC   STACR STACR 2019 DNA4 M2 144A             | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      8249 | PA      | $8248.55      | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC   STACR STACR 2020 DNA1 M2 144A             | CUSIP: 35565HAH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44446 | PA      | $44308.21     | 0.00%             | 2050-01-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                                                           | CPS AUTO TRUST CPS 2021 B C 144A                        | CUSIP: 12656QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234000 | PA      | $227147.38    | 0.02%             | 2027-03-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2022-D                                                                    | CPS AUTO TRUST CPS 2022 D A 144A                        | CUSIP: 12663UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1012433 | PA      | $1013268.38   | 0.09%             | 2027-01-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Chevron Corporation                                                                                  | CHEVRON CORP COMMON STOCK USD.75                        | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2801 | NS      | $502751.49    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chipotle Mexican Grill Inc                                                                           | CHIPOTLE MEXICAN GRILL INC COMMON STOCK USD.01          | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1593 | NS      | $2210271.57   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| The Progressive Corporation                                                                          | PROGRESSIVE CORP COMMON STOCK USD1.0                    | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |     15574 | NS      | $2020103.54   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Pulte Group Inc                                                                                      | PULTEGROUP INC COMMON STOCK USD.01                      | CUSIP: 745867101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16648 | NS      | $757983.44    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Cisco Systems, Inc.                                                                                  | CISCO SYSTEMS INC COMMON STOCK USD.001                  | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |     40899 | NS      | $1948428.36   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC COMMON STOCK USD.01                       | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |     36286 | NS      | $1641215.78   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC   STACR STACR 2020 DNA5 M2 144A             | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     94570 | PA      | $95313.70     | 0.01%             | 2050-10-25      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC   STACR STACR 2020 DNA6 M2 144A             | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1306419 | PA      | $1297367.42   | 0.11%             | 2050-12-27      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS TRUST                                                                                      | FREEDOM FINANCIAL FREED 2021 2 C 144A                   | CUSIP: 35635CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $446546.47    | 0.04%             | 2028-06-19      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| GCI FUNDING I LLC                                                                                    | GCI FUNDING I LLC GCI 2021 1 A 144A                     | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    142755 | PA      | $121265.13    | 0.01%             | 2046-06-18      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST 2022-C                                                                           | CNH EQUIPMENT TRUST CNH 2022 C A2                       | CUSIP: 12664JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014000 | PA      | $1017822.68   | 0.09%             | 2026-07-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                                      | CVS HEALTH CORP SR UNSECURED 03/28 4.3                  | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    682000 | PA      | $659659.51    | 0.06%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                                                                         | CITIZENS FINANCIAL GROUP COMMON STOCK USD.01            | CUSIP: 174610105<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EC               | CORP              | US        |     30480 | NS      | $1199997.60   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| The Coca-Cola Company                                                                                | COCA COLA CO/THE COMMON STOCK USD.25                    | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     47078 | NS      | $2994631.58   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                                          | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25         | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2123000 | PA      | $1697093.93   | 0.15%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GALAXY XXX CLO LTD                                                                                   | GALAXY CLO LTD GALXY 2022 30A D 144A                    | CUSIP: 36321RAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $358834.30    | 0.03%             | 2035-04-16      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Cognex Corp                                                                                          | COGNEX CORP COMMON STOCK USD.002                        | CUSIP: 192422103<br>LEI: 549300JQTYZCLC43S226 | Long             | EC               | CORP              | US        |     21208 | NS      | $999108.88    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Colgate-Palmolive Company                                                                            | COLGATE PALMOLIVE CO COMMON STOCK USD1.0                | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |     14949 | NS      | $1177831.71   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corporation                                                                                  | COMCAST CORP CLASS A COMMON STOCK USD.01                | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |     67864 | NS      | $2373204.08   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Consolidated Edison, Inc.                                                                            | CONSOLIDATED EDISON INC COMMON STOCK USD.1              | CUSIP: 209115104<br>LEI: 54930033SBW53OO8T749 | Long             | EC               | CORP              | US        |     11309 | NS      | $1077860.79   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corporation                                                                         | GENERAL DYNAMICS CORP COMPANY GUAR 04/30 3.625          | CUSIP: 369550BM9<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1119846.31   | 0.10%             | 2030-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                                                             | GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR              | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    336000 | PA      | $330100.68    | 0.03%             | 2500-12-31      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Corp.                                                                           | CONSTELLATION ENERGY COMMON STOCK                       | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Long             | EC               | CORP              | US        |     11373 | NS      | $980466.33    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| The Cooper Companies, Inc.                                                                           | COOPER COS INC/THE COMMON STOCK USD.1                   | CUSIP: 216648402<br>LEI: QJKMVPIGLH7530PCUE20 | Long             | EC               | CORP              | US        |      3656 | NS      | $1208929.52   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Company                                                                               | GENERAL MOTORS CO SR UNSECURED 10/27 4.2                | CUSIP: 37045VAN0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     94000 | PA      | $88390.84     | 0.01%             | 2027-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                                               | GENERAL MOTORS CO SR UNSECURED 10/28 5                  | CUSIP: 37045VAS9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    269000 | PA      | $257630.40    | 0.02%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Copart Inc                                                                                           | COPART INC COMMON STOCK                                 | CUSIP: 217204106<br>LEI: 549300KVYX3JWMYEHU61 | Long             | EC               | CORP              | US        |     71789 | NS      | $4371232.21   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Costco Wholesale Corporation                                                                         | COSTCO WHOLESALE CORP COMMON STOCK USD.005              | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     18682 | NS      | $8528333.00   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Company                                                                               | GENERAL MOTORS CO SR UNSECURED 10/27 6.8                | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    107000 | PA      | $111064.15    | 0.01%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                                               | GENERAL MOTORS CO SR UNSECURED 10/25 6.125              | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     79000 | PA      | $80399.08     | 0.01%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Dell Technologies Inc                                                                                | DELL TECHNOLOGIES  C COMMON STOCK                       | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |     13868 | NS      | $557770.96    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Diamondback Energy Inc                                                                               | DIAMONDBACK ENERGY INC COMMON STOCK USD.01              | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |      6715 | NS      | $918477.70    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Digital Realty Trust Inc                                                                             | DIGITAL REALTY TRUST INC REIT USD.01                    | CUSIP: 253868103<br>LEI: 549300HKCZ31D08NEI41 | Long             | EC               | CORP              | US        |      7429 | NS      | $744905.83    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corporation                                                                           | DOLLAR GENERAL CORP COMMON STOCK USD.875                | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     12106 | NS      | $2981102.50   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Financial Company Inc                                                                 | GENERAL MOTORS FINL CO COMPANY GUAR 01/27 4.35          | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     99000 | PA      | $94068.66     | 0.01%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                                 | GENERAL MOTORS FINL CO SR UNSECURED 10/28 2.4           | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1132695.40   | 0.10%             | 2028-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                                    | DOMINO S PIZZA INC COMMON STOCK USD.01                  | CUSIP: 25754A201<br>LEI: 25490005ZWM1IF9UXU57 | Long             | EC               | CORP              | US        |      6762 | NS      | $2342356.80   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Dow Inc                                                                                              | DOW INC COMMON STOCK USD.01                             | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |     16190 | NS      | $815814.10    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Financial Company Inc                                                                 | GENERAL MOTORS FINL CO SR UNSECURED 04/29 4.3           | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    126000 | PA      | $112858.94    | 0.01%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                                  | GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2              | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     75000 | PA      | $63753.86     | 0.01%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                                     | DUKE ENERGY CORP COMMON STOCK USD.001                   | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |     13649 | NS      | $1405710.51   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Dupont De Nemours Inc                                                                                | DUPONT DE NEMOURS INC COMMON STOCK USD.01               | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Long             | EC               | CORP              | US        |     13203 | NS      | $906121.89    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Global Payments Inc                                                                                  | GLOBAL PAYMENTS INC SR UNSECURED 08/32 5.4              | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    544000 | PA      | $518078.67    | 0.05%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 7 Ltd / Llc                                                        | GOLDENTREE LOAN MANAGEMENT US GLM 2020 7A AR 144A       | CUSIP: 38138LAL2<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241237.01    | 0.02%             | 2034-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| East West Bancorp Inc                                                                                | EAST WEST BANCORP INC COMMON STOCK USD.001              | CUSIP: 27579R104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14810 | NS      | $975979.00    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Eastman Chemical Company                                                                             | EASTMAN CHEMICAL CO COMMON STOCK USD.01                 | CUSIP: 277432100<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | EC               | CORP              | US        |      7670 | NS      | $624644.80    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Edwards Lifesciences Corporation                                                                     | EDWARDS LIFESCIENCES CORP COMMON STOCK USD1.0           | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     74706 | NS      | $5573814.66   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Electronic Arts Inc.                                                                                 | ELECTRONIC ARTS INC COMMON STOCK USD.01                 | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |     24947 | NS      | $3048024.46   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                            | GOLDMAN SACHS GROUP INC SR UNSECURED 04/32 VAR          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2059000 | PA      | $1642033.62   | 0.14%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                            | GOLDMAN SACHS GROUP INC SR UNSECURED 07/32 VAR          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    103000 | PA      | $79918.60     | 0.01%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co.                                                                                 | EMERSON ELECTRIC CO COMMON STOCK USD.5                  | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |     11836 | NS      | $1136966.16   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Entegris Inc                                                                                         | ENTEGRIS INC COMMON STOCK USD.01                        | CUSIP: 29362U104<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | EC               | CORP              | US        |     23659 | NS      | $1551793.81   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                            | GOLDMAN SACHS GROUP INC JR SUBORDINA 12/99 VAR          | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    120000 | PA      | $99888.40     | 0.01%             | 2500-12-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST                                                                                     | GREAT WOLF TRUST GWT 2019 WOLF C 144A                   | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79000 | PA      | $75421.83     | 0.01%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| EPAM Systems Inc.                                                                                    | EPAM SYSTEMS INC COMMON STOCK USD.001                   | CUSIP: 29414B104<br>LEI: 549300XCR4R530HJP604 | Long             | EC               | CORP              | US        |     14059 | NS      | $4607696.66   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Essential Utilities Inc                                                                              | ESSENTIAL UTILITIES INC COMMON STOCK USD.5              | CUSIP: 29670G102<br>LEI: 549300ILTEOF3E3QY357 | Long             | EC               | CORP              | US        |     19775 | NS      | $943860.75    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HFX FUNDING ISSUER LLC                                                                               | HFX FUNDING ISSUER 03/35 1                              | CUSIP: 40422GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $259515.20    | 0.02%             | 2035-03-15      | Floating      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                                    | HSBC HOLDINGS PLC SR UNSECURED 08/33 VAR                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    334000 | PA      | $309291.71    | 0.03%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                                                                             | ETSY INC COMMON STOCK USD.001                           | CUSIP: 29786A106<br>LEI: 54930089Q7XT501AEA40 | Long             | EC               | CORP              | US        |     14740 | NS      | $1765557.20   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Evergy Inc                                                                                           | EVERGY INC COMMON STOCK                                 | CUSIP: 30034W106<br>LEI: 549300PGTHDQY6PSUI61 | Long             | EC               | CORP              | US        |     14220 | NS      | $894864.60    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Holdings PLC                                                                                    | HSBC HOLDINGS PLC SR UNSECURED 11/26 VAR                | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1649000 | PA      | $1715078.43   | 0.15%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| HP Inc                                                                                               | HP INC SR UNSECURED 01/33 5.5                           | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |   1119000 | PA      | $1051242.13   | 0.09%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 04/24 2.5                               | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17383800 | PA      | $16889448.19  | 1.48%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 06/24 3                                 | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2293600 | PA      | $2238679.04   | 0.20%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 07/27 2.75                              | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24758600 | PA      | $23424923.79  | 2.06%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 10/27 4.125                             | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2729700 | PA      | $2739723.13   | 0.24%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 11/27 3.875                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31496400 | PA      | $31324154.06  | 2.75%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CALIF                                                                                     | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/51 FIXED 3.071 | CUSIP: 91412HKE2<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |    310000 | PA      | $207405.90    | 0.02%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                                      | CVS HEALTH CORP SR UNSECURED 08/26 3                    | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     33000 | PA      | $30823.68     | 0.00%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cajun Global Llc / Cajun Funding Corp / Cajun Restaurants Llc / Cajun Realty                         | CAJUN GLOBAL LLC CAJUN 2021 1 A2 144A                   | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61070 | PA      | $51721.10     | 0.00%             | 2051-11-20      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| CKE Restaurants, Inc.                                                                                | HARDEE S FUNDING HNGRY 2018 1A A23 144A                 | CUSIP: 411707AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127949 | PA      | $117744.89    | 0.01%             | 2048-06-20      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| CKE Restaurants, Inc.                                                                                | CKE RESTAURANTS HOLDINGS INC HNGRY 2020 1A A2 144A      | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132340 | PA      | $113330.84    | 0.01%             | 2050-12-20      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                                                         | UPSTART SECURITIZATION TRUST UPST 2021 3 B 144A         | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $195277.93    | 0.02%             | 2031-07-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Var Energi ASA                                                                                       | VAR ENERGI ASA SR UNSECURED 144A 01/28 7.5              | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    636000 | PA      | $647830.73    | 0.06%             | 2028-01-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Harley-Davidson Financial Services Inc.                                                              | HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 02/27 3.05   | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    912000 | PA      | $812208.64    | 0.07%             | 2027-02-14      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                                                      | HERTZ VEHICLE FINANCING LLC HERTZ 2022 1A C 144A        | CUSIP: 42806MAL3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $195226.48    | 0.02%             | 2026-06-25      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| Var Energi ASA                                                                                       | VAR ENERGI ASA SR UNSECURED 144A 11/32 8                | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    784000 | PA      | $809650.78    | 0.07%             | 2032-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                                                 | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $424184.45    | 0.04%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Camden Property Trust                                                                                | CAMDEN PROPERTY TRUST SR UNSECURED 05/30 2.8            | CUSIP: 133131AZ5<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |   1197000 | PA      | $1029932.58   | 0.09%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Company                                                                                | CAMPBELL SOUP CO SR UNSECURED 03/25 3.95                | CUSIP: 134429BF5<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    113000 | PA      | $110351.10    | 0.01%             | 2025-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verisign, Inc.                                                                                       | VERISIGN INC SR UNSECURED 06/31 2.7                     | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |   1408000 | PA      | $1146698.38   | 0.10%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                                          | VERIZON COMMUNICATIONS SR UNSECURED 03/30 3.15          | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1458000 | PA      | $1285724.18   | 0.11%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Hess Corporation                                                                                     | HESS CORP SR UNSECURED 04/27 4.3                        | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1806000 | PA      | $1724826.28   | 0.15%             | 2027-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HOME RE LIMITED                                                                                      | HOME RE LTD HMIR 2021 2 M1B 144A                        | CUSIP: 43730VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    222490 | PA      | $217111.90    | 0.02%             | 2034-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                                             | VISA INC SR UNSECURED 04/27 1.9                         | CUSIP: 92826CAL6<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    452000 | PA      | $407059.70    | 0.04%             | 2027-04-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                                             | VISA INC SR UNSECURED 04/30 2.05                        | CUSIP: 92826CAM4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    220000 | PA      | $185899.83    | 0.02%             | 2030-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Limited                                                                   | CANADIAN NATL RESOURCES SR UNSECURED 02/35 5.85         | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    860000 | PA      | $827383.92    | 0.07%             | 2035-02-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                                                    | CAPITAL ONE FINANCIAL CO SR UNSECURED 03/30 VAR         | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1651000 | PA      | $1411555.02   | 0.12%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Vistra Energy Corporation                                                                            | VISTRA CORP JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    107000 | PA      | $97362.85     | 0.01%             | 2500-12-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| VMware Inc                                                                                           | VMWARE INC SR UNSECURED 05/25 4.5                       | CUSIP: 928563AD7<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    954000 | PA      | $935503.18    | 0.08%             | 2025-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                                  | HUNTINGTON INGALLS INDUS COMPANY GUAR 05/25 3.844       | CUSIP: 446413AS5<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    205000 | PA      | $198072.69    | 0.02%             | 2025-05-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ING Bank N.V.                                                                                        | ING BANK NV SUBORDINATED 144A 09/23 5.8                 | CUSIP: 449786AY8<br>LEI: 3TK20IVIUJ8J3ZU0QE75 | Long             | DBT              | CORP              | NL        |   1306000 | PA      | $1304299.60   | 0.11%             | 2023-09-25      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corporation                                                                    | CAPITAL ONE FINANCIAL CO SR UNSECURED 05/28 VAR         | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    197000 | PA      | $190717.11    | 0.02%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Cargill Inc.                                                                                         | CARGILL INC SR UNSECURED 144A 07/23 1.375               | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     77000 | PA      | $75432.31     | 0.01%             | 2023-07-23      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| VMware Inc                                                                                           | VMWARE INC SR UNSECURED 05/27 4.65                      | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    293000 | PA      | $283598.18    | 0.02%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Volcan Compania Minera S.A.A.                                                                        | VOLCAN CIA MINERA SAA CM SR UNSECURED 144A 02/26 4.375  | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |     31000 | PA      | $26707.92     | 0.00%             | 2026-02-11      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Cargill Inc.                                                                                         | CARGILL INC SR UNSECURED 144A 04/30 2.125               | CUSIP: 141781BM5<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |   1301000 | PA      | $1071210.47   | 0.09%             | 2030-04-23      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corporation                                                                                 | CARNIVAL CORP SR SECURED 144A 08/28 4                   | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    237000 | PA      | $193252.17    | 0.02%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Vornado Realty Lp                                                                                    | VORNADO REALTY LP SR UNSECURED 06/31 3.4                | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |   1326000 | PA      | $985910.04    | 0.09%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                                                      | WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C24 AS        | CUSIP: 92939KAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $257298.42    | 0.02%             | 2047-11-18      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corporation                                                                           | CARRIER GLOBAL CORP SR UNSECURED 02/25 2.242            | CUSIP: 14448CAN4<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19780.63     | 0.00%             | 2025-02-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corporation                                                                           | CARRIER GLOBAL CORP SR UNSECURED 02/27 2.493            | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     26000 | PA      | $23436.73     | 0.00%             | 2027-02-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| W. R. Grace Holdings Llc                                                                             | WR GRACE HOLDING LLC SR SECURED 144A 06/27 4.875        | CUSIP: 92943GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551000 | PA      | $488257.63    | 0.04%             | 2027-06-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Swiss Re Finance (Luxembourg) S.A.                                                                   | SWISS RE FINANCE LUX COMPANY GUAR REGS 04/49 VAR        | CUSIP: 934UYPII5<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $184148.00    | 0.02%             | 2049-04-02      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                                                       | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N3 C          | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120785 | PA      | $116745.52    | 0.01%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N4                                                               | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 D          | CUSIP: 14687HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128000 | PA      | $116218.61    | 0.01%             | 2028-09-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Weibo Corporation                                                                                    | WEIBO CORP SR UNSECURED 07/30 3.375                     | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |    742000 | PA      | $576445.03    | 0.05%             | 2030-07-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 C35 B          | CUSIP: 95000FAY2<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $226340.46    | 0.02%             | 2048-07-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Cedar Fair LP/ Canada's Wonderland Company/ Magnum Management Corporation/ Millennium Operations LLC | CEDAR FAIR/CAN/MAGNUM/MI COMPANY GUAR 04/27 5.375       | CUSIP: 150190AB2<br>LEI: 549300TUVLNQQ6BVKH61 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $955000.00    | 0.08%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                                             | CELANESE US HOLDINGS LLC COMPANY GUAR 07/24 5.9         | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    869000 | PA      | $868720.17    | 0.08%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                                | WELLS FARGO + COMPANY SR UNSECURED 10/30 VAR            | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    298000 | PA      | $253122.59    | 0.02%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                                | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2033000 | PA      | $1905745.65   | 0.17%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Infor Inc                                                                                            | INFOR INC SR UNSECURED 144A 07/25 1.75                  | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |   1696000 | PA      | $1532088.55   | 0.13%             | 2025-07-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| ING Groep N.V.                                                                                       | ING GROEP N V 03/28 VAR                                 | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    209000 | PA      | $195431.75    | 0.02%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                                                  | CENTENE CORP SR UNSECURED 12/29 4.625                   | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    376000 | PA      | $343602.27    | 0.03%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                                                  | CENTENE CORP SR UNSECURED 02/30 3.375                   | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    212000 | PA      | $179218.44    | 0.02%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp.                                                                                | WESTERN DIGITAL CORP SR UNSECURED 02/29 2.85            | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1234003.65   | 0.11%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Wabtec Corp                                                                                          | WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/24 4.4           | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1106667.14   | 0.10%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp.                 | CHARTER COMM OPT LLC/CAP SR SECURED 10/45 6.484         | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     62000 | PA      | $55909.99     | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp.                 | CHARTER COMM OPT LLC/CAP SR SECURED 03/29 5.05          | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    519000 | PA      | $488294.72    | 0.04%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                                    | INTEL CORP SR UNSECURED 08/62 5.05                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    888000 | PA      | $779012.39    | 0.07%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corporation                                                          | IBM CORP SR UNSECURED 07/52 4.9                         | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    862000 | PA      | $783417.35    | 0.07%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Wabtec Corp                                                                                          | WESTINGHOUSE AIR BRAKE COMPANY GUAR 06/25 3.2           | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42365.16     | 0.00%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                                          | WORKDAY INC SR UNSECURED 04/29 3.7                      | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     42000 | PA      | $38532.84     | 0.00%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                                | CHENIERE CORP CHRISTI HD SR SECURED 11/29 3.7           | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    557000 | PA      | $503484.05    | 0.04%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chile Electricity PEC S.p.A.                                                                         | CHILE ELEC PEC SPA SR SECURED 144A 01/28 0.00000        | CUSIP: 168831AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |    460000 | PA      | $328202.75    | 0.03%             | 2028-01-25      | None          | 0.01%                 | Yes           |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                                      | INVESCO CLO 2021 1, LTD INVCO 2021 1A A1 144A           | CUSIP: 46090XAA9<br>LEI: 25490016C8NV86EY2059 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1645663.51   | 0.14%             | 2034-04-17      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                                                               | INTESA SANPAOLO SPA SR UNSECURED 144A 11/25 7           | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    256000 | PA      | $261086.82    | 0.02%             | 2025-11-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Workday Inc                                                                                          | WORKDAY INC SR UNSECURED 04/32 3.8                      | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $971010.60    | 0.09%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Wynn Macau Ltd                                                                                       | WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625            | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    292000 | PA      | $249394.28    | 0.02%             | 2028-08-26      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC JR SUBORDINA 07/49 VAR                    | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    139000 | PA      | $137644.75    | 0.01%             | 2500-12-31      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC JR SUBORDINA 12/49 VAR                    | CUSIP: 172967GF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26718.67     | 0.00%             | 2500-12-31      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                                                          | ZOETIS INC SR UNSECURED 11/25 5.4                       | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    675000 | PA      | $688484.95    | 0.06%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                                           | COOPERATIEVE RABOBANK UA SUBORDINATED REGS 04/29 VAR    | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $954348.61    | 0.08%             | 2029-04-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC JR SUBORDINA 12/49 VAR                    | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    142000 | PA      | $127899.40    | 0.01%             | 2500-12-31      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC SR UNSECURED 01/28 VAR                    | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1538000 | PA      | $1437211.60   | 0.13%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CDBL Funding 1                                                                                       | CDBL FUNDING 1 COMPANY GUAR REGS 10/27 3.5              | CUSIP: 000000000<br>LEI: 254900PLOF8VWTAH3F83 | Long             | DBT              | CORP              | KY        |    230000 | PA      | $212073.02    | 0.02%             | 2027-10-24      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Swedbank AB (publ)                                                                                   | SWEDBANK AB JR SUBORDINA REGS VAR                       | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    200000 | PA      | $191292.00    | 0.02%             | 2500-12-31      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| CME GLOBEX                                                                                           | S+P500 EMINI FUT  MAR23 XCME 20230317                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      -723 | NC      | $3283477.78   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| SP500 MIC EMIN FUTMAR23 XCME 20230317                                                                | SP500 MIC EMIN FUTMAR23 XCME 20230317                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        41 | NC      | $-21163.49    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC SR UNSECURED 04/29 VAR                    | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    212000 | PA      | $195075.03    | 0.02%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC SR UNSECURED 03/30 VAR                    | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    145000 | PA      | $130773.43    | 0.01%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC SR UNSECURED 03/31 VAR                    | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    380000 | PA      | $348952.71    | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                                       | CITIGROUP INC JR SUBORDINA 12/99 VAR                    | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    101000 | PA      | $87983.12     | 0.01%             | 2500-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4000 CALL                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       111 | NC      | $5439222.00   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4000 PUT                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       142 | NC      | $6406472.00   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10                                        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2013 C10 B         | CUSIP: 46639JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $291115.17    | 0.03%             | 2047-12-17      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C15                                                  | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2013 C15 AS        | CUSIP: 46640NAJ7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $245553.03    | 0.02%             | 2045-11-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                                | COCA COLA CO/THE SR UNSECURED 03/27 3.375               | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1319626.39   | 0.12%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                                | COCA COLA CO/THE SR UNSECURED 03/30 3.45                | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    182000 | PA      | $169249.77    | 0.01%             | 2030-03-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| US LONG BOND(CBT) MAR23 XCBT 20230322                                                                | US LONG BOND(CBT) MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       280 | NC      | $-320966.52   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| US ULTRA BOND CBT MAR23 XCBT 20230322                                                                | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         4 | NC      | $-11310.61    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COLLEGE AVENUE STUDENT LOANS 2021-C LLC                                                              | COLLEGE AVE STUDENT LOANS CASL 2021 C C 144A            | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136800 | PA      | $108972.21    | 0.01%             | 2055-07-26      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Colombia (Republic of)                                                                               | REPUBLIC OF COLOMBIA SR UNSECURED 04/31 3.125           | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1176000 | PA      | $872843.36    | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C21                                                  | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C21 C         | CUSIP: 46642EBE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $271352.51    | 0.02%             | 2047-08-16      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                                           | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2015 C27 AS        | CUSIP: 46644ABK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130694 | PA      | $123395.38    | 0.01%             | 2048-02-18      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| US 10YR NOTE (CBT)MAR23 XCBT 20230322                                                                | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      3049 | NC      | $-2324380.35  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                                               | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -85 | NC      | $252132.71    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Comision Federal de Electricidad                                                                     | COMISION FEDERAL DE ELEC COMPANY GUAR 144A 02/31 3.348  | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    236000 | PA      | $184205.24    | 0.02%             | 2031-02-09      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                                     | COMISION FEDERAL DE ELEC COMPANY GUAR 144A 05/29 4.688  | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    221000 | PA      | $195458.83    | 0.02%             | 2029-05-15      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| US 2YR NOTE (CBT) MAR23 XCBT 20230331                                                                | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        77 | NC      | $18553.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4300 CALL                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       250 | NC      | $9044250.00   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO SR UNSECURED 12/29 VAR              | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1376157.73   | 0.12%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR              | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    218000 | PA      | $182818.30    | 0.02%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2019 R02 1M2 144A                  | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      4330 | PA      | $4324.41      | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2019 R03 1M2 144A                  | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     13289 | PA      | $13256.37     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4300 PUT                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       235 | NC      | $13204650.00  | 1.16%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4200 CALL                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       147 | NC      | $5904990.00   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO SR UNSECURED 03/31 VAR              | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    171000 | PA      | $159706.55    | 0.01%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO SR UNSECURED 04/32 VAR              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    458000 | PA      | $366876.24    | 0.03%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2019-R04                                                         | FANNIE MAE   CAS CAS 2019 R04 2B1 144A                  | CUSIP: 20753TAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    853598 | PA      | $876146.38    | 0.08%             | 2039-06-27      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2020 SBT1 1M2 144A                 | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    255000 | PA      | $251846.72    | 0.02%             | 2040-02-27      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4200 PUT                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       171 | NC      | $8835570.00   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4100 PUT                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |        92 | NC      | $4333936.00   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2020 SBT1 2M2 144A                 | CUSIP: 20753VCZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    270000 | PA      | $271447.58    | 0.02%             | 2040-02-27      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2019- R07                                                        | FANNIE MAE   CAS CAS 2019 R07 1M2 144A                  | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     20620 | PA      | $20568.73     | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                                         | FANNIE MAE   CAS CAS 2022 R03 1M1 144A                  | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1202261 | PA      | $1193901.17   | 0.10%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                                         | FANNIE MAE   CAS CAS 2022 R03 1M2 144A                  | CUSIP: 20753XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    253631 | PA      | $256806.23    | 0.02%             | 2042-03-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                                         | FANNIE MAE   CAS CAS 2022 R04 1M2 144A                  | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     63262 | PA      | $63025.46     | 0.01%             | 2042-03-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                                                         | FANNIE MAE   CAS CAS 2021 R03 1M2 144A                  | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    117550 | PA      | $110871.83    | 0.01%             | 2041-12-26      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4400 CALL                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       129 | NC      | $4022607.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                                     | S+P 500 INDEX DEC24 4400 PUT                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |       129 | NC      | $8084430.00   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO SR UNSECURED 12/25 VAR              | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1242000 | PA      | $1242021.82   | 0.11%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Jaguar Land Rover Automotive PLC                                                                     | JAGUAR LAND ROVER AUTOMO COMPANY GUAR 144A 07/29 5.5    | CUSIP: 47010BAM6<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |   1227000 | PA      | $868968.88    | 0.08%             | 2029-07-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Argentum Netherlands B.V.                                                                            | ARGENTUM (SWISS RE LTD) SUBORDINATED REGS 08/50 VAR     | CUSIP: 000000000<br>LEI: 724500RPEZI5VVQQWE89 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1428750.00   | 0.13%             | 2050-08-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Cloverie plc                                                                                         | CLOVERIE PLC ZURICH INS SUBORDINATED REGS 06/46 VAR     | CUSIP: 000000000<br>LEI: 5493002N598MXOKUEF55 | Long             | DBT              | CORP              | IE        |   1116000 | PA      | $1088100.00   | 0.10%             | 2046-06-24      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| KAYNE CLO 11 LTD                                                                                     | KAYNE CLO KAYNE 2021 11A D 144A                         | CUSIP: 48662NAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $216773.09    | 0.02%             | 2034-04-17      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                                  | KINDER MORGAN INC COMPANY GUAR 03/28 4.3                | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1449000 | PA      | $1388037.70   | 0.12%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Qorvo Inc                                                                                            | QORVO INC COMMON STOCK USD.0001                         | CUSIP: 74736K101<br>LEI: 254900YAUJV2EUEVBR11 | Long             | EC               | CORP              | US        |      5932 | NS      | $537676.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM Inc.                                                                                        | QUALCOMM INC COMMON STOCK USD.0001                      | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |     58844 | NS      | $6469309.36   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Kyndryl Holdings Inc                                                                                 | KYNDRYL HOLDINGS INC SR UNSECURED 10/26 2.05            | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   2046000 | PA      | $1669315.34   | 0.15%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2021-1                                                                    | LAD AUTO RECEIVABLES TRUST LADAR 2021 1A C 144A         | CUSIP: 501683AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $369436.05    | 0.03%             | 2027-04-15      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2022-1                                                                    | LAD AUTO RECEIVABLES TRUST LADAR 2022 1A A 144A         | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712421 | PA      | $701010.43    | 0.06%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                                                | BATH + BODY WORKS INC COMPANY GUAR 144A 10/30 6.625     | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    995000 | PA      | $933710.99    | 0.08%             | 2030-10-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                                                       | BNP PARIBAS JR SUBORDINA REGS 12/99 VAR                 | CUSIP: F1R15XL35<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    877000 | PA      | $677570.61    | 0.06%             | 2500-12-31      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| MARB BondCo PLC                                                                                      | MARB BONDCO PLC COMPANY GUAR REGS 01/31 3.95            | CUSIP: G5825AAC6<br>LEI: 254900PVA1EU6QM1JN57 | Long             | DBT              | CORP              | GB        |   1483000 | PA      | $1138326.94   | 0.10%             | 2031-01-29      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Lam Research Corporation                                                                             | LAM RESEARCH CORP SR UNSECURED 03/29 4                  | CUSIP: 512807AU2<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |    816000 | PA      | $777007.60    | 0.07%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                                 | LAS VEGAS SANDS CORP SR UNSECURED 08/29 3.9             | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1829000 | PA      | $1540864.81   | 0.14%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                               | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR      | CUSIP: H3698DDA9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    641000 | PA      | $417086.82    | 0.04%             | 2500-12-31      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CSN Resources S.A.                                                                                   | CSN RESOURCES SA COMPANY GUAR REGS 04/32 5.875          | CUSIP: L21779AK6<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |    787000 | PA      | $657674.41    | 0.06%             | 2032-04-08      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Quest Diagnostics Incorporated                                                                       | QUEST DIAGNOSTICS INC COMMON STOCK USD.01               | CUSIP: 74834L100<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | EC               | CORP              | US        |      7995 | NS      | $1250737.80   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Raymond James Financial Inc.                                                                         | RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01         | CUSIP: 754730109<br>LEI: RGUZHJ05YTITL6D76949 | Long             | EC               | CORP              | US        |     10703 | NS      | $1143615.55   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Level 3 Financing, Inc.                                                                              | LEVEL 3 FINANCING INC SR SECURED 144A 11/29 3.875       | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    309000 | PA      | $243842.84    | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                                             | LLOYDS BANKING GROUP PLC SUBORDINATED 11/33 VAR         | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    611000 | PA      | $646744.36    | 0.06%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| AES Panama Generation Holdings S R L                                                                 | AES PANAMA GENERATION HL SR SECURED REGS 05/30 4.375    | CUSIP: P0608AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    241000 | PA      | $209356.70    | 0.02%             | 2030-05-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                                     | COMISION FEDERAL DE ELEC COMPANY GUAR REGS 02/31 3.348  | CUSIP: P29595AD0<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1177000 | PA      | $918684.60    | 0.08%             | 2031-02-09      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                                | LOWE S COS INC SR UNSECURED 09/62 5.8                   | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    640000 | PA      | $612582.76    | 0.05%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| M.D.C. Holdings Inc.                                                                                 | MDC HOLDINGS INC COMPANY GUAR 01/43 6                   | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $934294.76    | 0.08%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MVWOT 2021-2 LLC                                                                                     | MVW OWNER TRUST MVWOT 2021 2A C 144A                    | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    336351 | PA      | $297531.38    | 0.03%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Magallanes Inc.                                                                                      | MAGALLANES INC COMPANY GUAR 144A 03/32 4.279            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $924264.04    | 0.08%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Engie Energia Chile SA                                                                               | ENGIE ENERGIA CHILE SA SR UNSECURED REGS 01/30 3.4      | CUSIP: P3762TAA9<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    673000 | PA      | $549498.93    | 0.05%             | 2030-01-28      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Globo Comunicacoes e Participacoes S.A.                                                              | GLOBO COMMUNICACOES PART SR UNSECURED REGS 01/30 4.875  | CUSIP: P47777AB6<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |    794000 | PA      | $664981.46    | 0.06%             | 2030-01-22      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Marathon Oil Corporation                                                                             | MARATHON OIL CORP SR UNSECURED 03/32 6.8                | CUSIP: 565849AB2<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |   1193000 | PA      | $1227330.54   | 0.11%             | 2032-03-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Company                                                                           | MARATHON PETROLEUM CORP SR UNSECURED 03/41 6.5          | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   1072000 | PA      | $1101180.97   | 0.10%             | 2041-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                                         | FANNIE MAE   CAS CAS 2022 R02 2M1 144A                  | CUSIP: 20754BAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    290196 | PA      | $283812.30    | 0.02%             | 2042-01-27      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                                         | FANNIE MAE   CAS CAS 2022 R02 2M2 144A                  | CUSIP: 20754BAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    960000 | PA      | $904542.72    | 0.08%             | 2042-01-27      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Mars Inc. (Del)                                                                                      | MARS INC COMPANY GUAR 144A 04/25 2.7                    | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    113000 | PA      | $107570.13    | 0.01%             | 2025-04-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Mars Inc. (Del)                                                                                      | MARS INC COMPANY GUAR 144A 04/30 3.2                    | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25009.67     | 0.00%             | 2030-04-01      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R05                                                         | FANNIE MAE   CAS CAS 2022 R05 2M2 144A                  | CUSIP: 20754DAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    599367 | PA      | $580189.17    | 0.05%             | 2042-04-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2019-R06                                                         | FANNIE MAE   CAS CAS 2019 R06 2B1 144A                  | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $980243.50    | 0.09%             | 2039-09-26      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| GNL Quintero S.A.                                                                                    | GNL QUINTERO SA SR UNSECURED REGS 07/29 4.634           | CUSIP: P4909LAA8<br>LEI: 549300JJJIQXE6E1QY27 | Long             | DBT              | CORP              | CL        |    739593 | PA      | $714130.16    | 0.06%             | 2029-07-31      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Natura Cosmeticos S A                                                                                | NATURA COSMETICOS SA COMPANY GUAR REGS 05/28 4.125      | CUSIP: P7088CAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    563000 | PA      | $459413.63    | 0.04%             | 2028-05-03      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Marriott International, Inc.                                                                         | MARRIOTT INTERNATIONAL SR UNSECURED 05/25 5.75          | CUSIP: 571903BD4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1264000 | PA      | $1274897.34   | 0.11%             | 2025-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MasterCard Incorporated                                                                              | MASTERCARD INC SR UNSECURED 03/30 3.35                  | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   1713000 | PA      | $1570600.59   | 0.14%             | 2030-03-26      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2021 R02 2M2 144A                  | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $930060.80    | 0.08%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2021 R02 2B1 144A                  | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    211036 | PA      | $194748.24    | 0.02%             | 2041-11-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Oleoducto Central SA                                                                                 | OLEODUCTO CENTRAL SA SR UNSECURED REGS 07/27 4          | CUSIP: P7358RAD8<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |    356000 | PA      | $314062.54    | 0.03%             | 2027-07-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PT Freeport Indonesia                                                                                | FREEPORT INDONESIA PT SR UNSECURED REGS 04/27 4.763     | CUSIP: Y7141BAA1<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    350000 | PA      | $336000.00    | 0.03%             | 2027-04-14      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                                         | FANNIE MAE   CAS CAS 2022 R01 1B1 144A                  | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    305277 | PA      | $286540.32    | 0.03%             | 2041-12-26      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R07                                                         | FANNIE MAE   CAS CAS 2022 R07 1M1 144A                  | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1147906 | PA      | $1158041.63   | 0.10%             | 2042-06-25      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Mattel, Inc.                                                                                         | MATTEL INC COMPANY GUAR 144A 04/26 3.375                | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    128000 | PA      | $117683.82    | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| McDonald's Corporation                                                                               | MCDONALD S CORP SR UNSECURED 09/29 2.625                | CUSIP: 58013MFJ8<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1490911.20   | 0.13%             | 2029-09-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                                                   | EXELON CORP COMMON STOCK                                | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |     27206 | NS      | $1176115.38   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| F&G Annuities & Life Inc.                                                                            | F+G ANNUITIES + LIFE INC COMMON STOCK                   | CUSIP: 30190A104<br>LEI: N/A                  | Long             | EC               | USGSE             | US        |      1868 | NS      | $37378.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                                                         | FANNIE MAE   CAS CAS 2022 R06 1M1 144A                  | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1350196 | PA      | $1367012.86   | 0.12%             | 2042-05-27      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2021 R01 1M2 144A                  | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    462831 | PA      | $451055.14    | 0.04%             | 2041-10-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Expeditors International Of Washington Inc.                                                          | EXPEDITORS INTL WASH INC COMMON STOCK USD.01            | CUSIP: 302130109<br>LEI: 984500B055A804AB6E40 | Long             | EC               | CORP              | US        |      7953 | NS      | $826475.76    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Exxon Mobil Corporation                                                                              | EXXON MOBIL CORP COMMON STOCK                           | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |     12904 | NS      | $1423311.20   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                  | FANNIE MAE   CAS CAS 2020 R02 2M2 144A                  | CUSIP: 20754WAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    103532 | PA      | $101969.12    | 0.01%             | 2040-01-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R08                                                         | FANNIE MAE   CAS CAS 2022 R08 1M1 144A                  | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1026272 | PA      | $1029494.12   | 0.09%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                                   | FACEBOOK INC CLASS A COMMON STOCK USD.000006            | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     19152 | NS      | $2304751.68   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FedEx Corporation                                                                                    | FEDEX CORP COMMON STOCK USD.1                           | CUSIP: 31428X106<br>LEI: 549300E707U7WNPZN687 | Long             | EC               | CORP              | US        |      5918 | NS      | $1024997.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Continental Resources, Inc.                                                                          | CONTINENTAL RESOURCES COMPANY GUAR 144A 01/31 5.75      | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1582000 | PA      | $1472621.03   | 0.13%             | 2031-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                                          | CONTINENTAL RESOURCES COMPANY GUAR 144A 04/32 2.875     | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    218000 | PA      | $161470.03    | 0.01%             | 2032-04-01      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Information Services Inc                                                           | FIDELITY NATIONAL INFO SERV COMMON STOCK USD.01         | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |     44126 | NS      | $2993949.10   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity National Financial, Inc.                                                                    | FIDELITY NATIONAL FINANCIAL COMMON STOCK USD.0001       | CUSIP: 31620R303<br>LEI: 549300CAZYIH39SYQ287 | Long             | EC               | CORP              | US        |     27480 | NS      | $1033797.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fifth Third Bancorp                                                                                  | FIFTH THIRD BANCORP COMMON STOCK                        | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | EC               | CORP              | US        |     33906 | NS      | $1112455.86   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstEnergy Corp.                                                                                    | FIRSTENERGY CORP COMMON STOCK USD.1                     | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Long             | EC               | CORP              | US        |     24182 | NS      | $1014193.08   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fortinet Inc                                                                                         | FORTINET INC COMMON STOCK USD.001                       | CUSIP: 34959E109<br>LEI: 549300O0QJWDBAS0QX03 | Long             | EC               | CORP              | US        |    129243 | NS      | $6318690.27   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Gartner Incorporation                                                                                | GARTNER INC COMMON STOCK USD.0005                       | CUSIP: 366651107<br>LEI: PP55B5R38BFB8O8HH686 | Long             | EC               | CORP              | US        |      1672 | NS      | $562026.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| General Mills, Inc.                                                                                  | GENERAL MILLS INC COMMON STOCK USD.1                    | CUSIP: 370334104<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | EC               | CORP              | US        |     26343 | NS      | $2208860.55   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Company                                                                               | GENERAL MOTORS CO COMMON STOCK USD.01                   | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |     28586 | NS      | $961633.04    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Genmab As                                                                                            | GENMAB A/S  SP ADR ADR                                  | CUSIP: 372303206<br>LEI: 529900MTJPDPE4MHJ122 | Long             | EC               | CORP              | DK        |     23840 | NS      | $1010339.20   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Global Payments Inc                                                                                  | GLOBAL PAYMENTS INC COMMON STOCK                        | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |      5809 | NS      | $576949.88    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                            | GOLDMAN SACHS GROUP INC COMMON STOCK USD.01             | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |      5577 | NS      | $1915030.26   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HF Sinclair Corp.                                                                                    | HF SINCLAIR CORP COMMON STOCK                           | CUSIP: 403949100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14344 | NS      | $744310.16    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA Healthcare Inc                                                                                   | HCA HEALTHCARE INC COMMON STOCK USD.01                  | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |      6270 | NS      | $1504549.20   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| HP Inc                                                                                               | HP INC COMMON STOCK USD.01                              | CUSIP: 40434L105<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | EC               | CORP              | US        |     21728 | NS      | $583831.36    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| McDonald's Corporation                                                                               | MCDONALD S CORP SR UNSECURED 09/49 3.625                | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     90000 | PA      | $67701.55     | 0.01%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                                               | MCDONALD S CORP SR UNSECURED 07/27 3.5                  | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    272000 | PA      | $258010.70    | 0.02%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Halliburton Company                                                                                  | HALLIBURTON CO COMMON STOCK USD2.5                      | CUSIP: 406216101<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | EC               | CORP              | US        |     33601 | NS      | $1322199.35   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| HRTI LLC                                                                                             | HEALTHCARE REALTY TRUST INC REIT USD.01                 | CUSIP: 42226K105<br>LEI: 549300CB86LH2IOKHH22 | Long             | EC               | CORP              | US        |     28276 | NS      | $544878.52    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Micron Technology Inc.                                                                               | MICRON TECHNOLOGY INC SR UNSECURED 11/29 6.75           | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1089000 | PA      | $1106181.01   | 0.10%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Inc.                                                                          | MIZUHO FINANCIAL GROUP SR UNSECURED 09/30 VAR           | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1261000 | PA      | $1054526.67   | 0.09%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Company                                                                   | HEWLETT PACKARD ENTERPRISE COMMON STOCK USD.01          | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Long             | EC               | CORP              | US        |     43800 | NS      | $699048.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Hologic Inc                                                                                          | HOLOGIC INC COMMON STOCK USD.01                         | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |     15294 | NS      | $1144144.14   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc                                                                                       | HOME DEPOT INC COMMON STOCK USD.05                      | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     31417 | NS      | $9923373.62   | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Houlihan Lokey Incorporation                                                                         | HOULIHAN LOKEY INC COMMON STOCK USD.001                 | CUSIP: 441593100<br>LEI: 549300S3CNGTQ1QZVY46 | Long             | EC               | CORP              | US        |     21811 | NS      | $1901046.76   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| J. B. Hunt Transport Services, Inc.                                                                  | HUNT (JB) TRANSPRT SVCS INC COMMON STOCK USD.01         | CUSIP: 445658107<br>LEI: 549300XCD1MPI1C5GK90 | Long             | EC               | CORP              | US        |      4204 | NS      | $733009.44    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                                  | HUNTINGTON INGALLS INDUSTRIE COMMON STOCK USD.01        | CUSIP: 446413106<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | EC               | CORP              | US        |      3040 | NS      | $701267.20    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Idex Corporation                                                                                     | IDEX CORP COMMON STOCK USD.01                           | CUSIP: 45167R104<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | EC               | CORP              | US        |      9755 | NS      | $2227359.15   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| IDEXX Laboratories Inc.                                                                              | IDEXX LABORATORIES INC COMMON STOCK USD.1               | CUSIP: 45168D104<br>LEI: OGMTXK0LUU1HKV2P0J84 | Long             | EC               | CORP              | US        |     14797 | NS      | $6036584.12   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Illumina Inc                                                                                         | ILLUMINA INC COMMON STOCK USD.01                        | CUSIP: 452327109<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | EC               | CORP              | US        |      4410 | NS      | $891702.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Incyte Corporation.                                                                                  | INCYTE CORP COMMON STOCK USD.001                        | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |     13635 | NS      | $1095163.20   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Mondelez International, Inc.                                                                         | MONDELEZ INTERNATIONAL SR UNSECURED 04/30 2.75          | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     19000 | PA      | $16377.11     | 0.00%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Mondelez International Holdings Netherlands BV                                                       | MONDELEZ INTL HLDINGS NE COMPANY GUAR 144A 09/24 2.25   | CUSIP: 60920LAF1<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |    249000 | PA      | $236786.38    | 0.02%             | 2024-09-19      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Intel Corporation                                                                                    | INTEL CORP COMMON STOCK USD.001                         | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |     45737 | NS      | $1208828.91   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange Inc                                                                        | INTERCONTINENTAL EXCHANGE IN COMMON STOCK USD.01        | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |     33714 | NS      | $3458719.26   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| International Paper Company                                                                          | INTERNATIONAL PAPER CO COMMON STOCK USD1.0              | CUSIP: 460146103<br>LEI: 824LMFJDH41EY779Q875 | Long             | EC               | CORP              | US        |     17825 | NS      | $617279.75    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc.                                                                              | INTUITIVE SURGICAL INC COMMON STOCK USD.001             | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     27121 | NS      | $7196557.35   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                                             | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1154251 | PA      | $1027493.19   | 0.09%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                             | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2802682 | PA      | $2651610.27   | 0.23%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                                 | JPMORGAN CHASE + CO COMMON STOCK USD1.0                 | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     57399 | NS      | $7697205.90   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Jabil Inc                                                                                            | JABIL INC COMMON STOCK USD.001                          | CUSIP: 466313103<br>LEI: 5493000CGCQY2OQU7669 | Long             | EC               | CORP              | US        |      7576 | NS      | $516683.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                                                       | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1992000 | PA      | $1894578.97   | 0.17%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                                       | MORGAN STANLEY SR UNSECURED 10/28 VAR                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     79000 | PA      | $81552.06     | 0.01%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4324000 | PA      | $4193901.82   | 0.37%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                                               | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/26 VAR      | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1445000 | PA      | $1234162.51   | 0.11%             | 2026-06-05      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Johnson & Johnson                                                                                    | JOHNSON + JOHNSON COMMON STOCK USD1.0                   | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     25831 | NS      | $4563046.15   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corporation                                                                                      | KLA CORP COMMON STOCK USD.001                           | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      3399 | NS      | $1281524.97   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Group AG                                                                               | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR      | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    753000 | PA      | $706953.42    | 0.06%             | 2026-07-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                                    | CROWN CASTLE INTL CORP SR UNSECURED 09/27 3.65          | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    133000 | PA      | $123535.37    | 0.01%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                                    | CROWN CASTLE INTL CORP SR UNSECURED 02/29 4.3           | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    154000 | PA      | $145428.27    | 0.01%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                                    | CROWN CASTLE INTL CORP SR UNSECURED 11/29 3.1           | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    279000 | PA      | $243189.30    | 0.02%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                                                 | KEURIG DR PEPPER INC COMMON STOCK USD.01                | CUSIP: 49271V100<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | EC               | CORP              | US        |     45955 | NS      | $1638755.30   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| KeyCorp                                                                                              | KEYCORP COMMON STOCK USD1.0                             | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |     64517 | NS      | $1123886.14   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Cap I Tst 2018-H3                                                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2018 H3 AS           | CUSIP: 61767YBC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $248689.06    | 0.02%             | 2051-07-17      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Mozart Debt Merger Subordinated Inc.                                                                 | MOZART DEBT MERGER SUB SR SECURED 144A 04/29 3.875      | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    240000 | PA      | $193430.40    | 0.02%             | 2029-04-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Kimberly-Clark Corporation                                                                           | KIMBERLY CLARK CORP COMMON STOCK USD1.25                | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |      8534 | NS      | $1158490.50   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Kinder Morgan, Inc.                                                                                  | KINDER MORGAN INC COMMON STOCK USD.01                   | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |     57427 | NS      | $1038280.16   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NMEF FUNDING 2022-B LLC                                                                              | NMEF FUNDING LLC NMEF 2022 B A2 144A                    | CUSIP: 62890MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361000 | PA      | $360414.42    | 0.03%             | 2029-06-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                                     | NRG ENERGY INC SR SECURED 144A 06/24 3.75               | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    308000 | PA      | $296645.88    | 0.03%             | 2024-06-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Knight-Swift Transportation Holdings Inc.                                                            | KNIGHT SWIFT TRANSPORTATION COMMON STOCK USD.001        | CUSIP: 499049104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32411 | NS      | $1698660.51   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Koninklijke Ahold Delhaize NV                                                                        | KONINKLIJKE AHOLD SP ADR ADR EUR.01                     | CUSIP: 500467501<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |     72760 | NS      | $2088212.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP BV/NXP Funding LLC                                                                               | NXP BV/NXP FUNDING LLC COMPANY GUAR 12/28 5.55          | CUSIP: 62947QBC1<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |    125000 | PA      | $124832.51    | 0.01%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                                          | NATIONWIDE BLDG SOCIETY SUBORDINATED 144A 09/26 4       | CUSIP: 63859WAE9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1299000 | PA      | $1181368.11   | 0.10%             | 2026-09-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| The Kroger Co.                                                                                       | KROGER CO COMMON STOCK USD1.0                           | CUSIP: 501044101<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | EC               | CORP              | US        |     22922 | NS      | $1021862.76   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| LKQ Corporation                                                                                      | LKQ CORP COMMON STOCK USD.01                            | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |     14123 | NS      | $754309.43    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| L3 Harris Technologies Inc                                                                           | L3HARRIS TECHNOLOGIES INC COMMON STOCK USD1.0           | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |      4379 | NS      | $911751.59    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Laboratory Corp of America Holdings                                                                  | LABORATORY CRP OF AMER HLDGS COMMON STOCK USD.1         | CUSIP: 50540R409<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | EC               | CORP              | US        |      4912 | NS      | $1156677.76   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Regency Centers Corp.                                                                                | REGENCY CENTERS CORP REIT USD.01                        | CUSIP: 758849103<br>LEI: 529900053A7X7FJ97S58 | Long             | EC               | CORP              | US        |     11126 | NS      | $695375.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| RELX PLC                                                                                             | RELX PLC   SPON ADR ADR                                 | CUSIP: 759530108<br>LEI: 549300WSX3VBUFFJOO66 | Long             | EC               | CORP              | GB        |     34994 | NS      | $970033.68    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings Inc                                                                                  | LEIDOS HOLDINGS INC COMMON STOCK USD.0001               | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |      8070 | NS      | $848883.30    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corporation                                                                                   | LENNAR CORP A COMMON STOCK USD.1                        | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |      9622 | NS      | $870791.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co.                                                                                      | ELI LILLY + CO COMMON STOCK                             | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |      7643 | NS      | $2796115.12   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Lincoln National Corporation                                                                         | LINCOLN NATIONAL CORP COMMON STOCK                      | CUSIP: 534187109<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | EC               | CORP              | US        |     22345 | NS      | $686438.40    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Robert Half International Inc.                                                                       | ROBERT HALF INTL INC COMMON STOCK USD.001               | CUSIP: 770323103<br>LEI: 529900VPCUY9H3HLIC08 | Long             | EC               | CORP              | US        |      8416 | NS      | $621353.28    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Roche Holdings, Ltd.                                                                                 | ROCHE HOLDINGS LTD SPONS ADR ADR CNY1.0                 | CUSIP: 771195104<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |     61322 | NS      | $2400756.30   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Lockheed Martin Corporation                                                                          | LOCKHEED MARTIN CORP COMMON STOCK USD1.0                | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |      9448 | NS      | $4596357.52   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Loews Corporation                                                                                    | LOEWS CORP COMMON STOCK USD.01                          | CUSIP: 540424108<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | EC               | CORP              | US        |     20016 | NS      | $1167533.28   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Nationwide Building Society                                                                          | NATIONWIDE BLDG SOCIETY 02/28 1                         | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    368000 | PA      | $323470.63    | 0.03%             | 2028-02-16      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Natura Cosmeticos S A                                                                                | NATURA COSMETICOS SA COMPANY GUAR 144A 05/28 4.125      | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    230000 | PA      | $187682.30    | 0.02%             | 2028-05-03      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies Inc                                                                               | ROPER TECHNOLOGIES INC COMMON STOCK USD.01              | CUSIP: 776696106<br>LEI: 54930003T4SXCIWVXY35 | Long             | EC               | CORP              | US        |      9722 | NS      | $4200778.98   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Shell PLC                                                                                            | SHELL PLC ADR ADR                                       | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     47634 | NS      | $2712756.30   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Lumen Technologies Inc                                                                               | LUMEN TECHNOLOGIES INC COMMON STOCK USD1.0              | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |     97913 | NS      | $511105.86    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MSCI Inc.                                                                                            | MSCI INC COMMON STOCK USD.01                            | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |      6521 | NS      | $3033373.57   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| NatWest Group PLC                                                                                    | NATWEST GROUP PLC SR UNSECURED 11/26 VAR                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    429000 | PA      | $446417.42    | 0.04%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER LLC                                                                                | NEIGHBORLY ISSUER LLC NBLY 2021 1A A2 144A              | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124728 | PA      | $99801.91     | 0.01%             | 2051-04-30      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Manhattan Associates Inc                                                                             | MANHATTAN ASSOCIATES INC COMMON STOCK USD.01            | CUSIP: 562750109<br>LEI: 529900Q1GJP7KD52SW51 | Long             | EC               | CORP              | US        |      8844 | NS      | $1073661.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Marathon Oil Corporation                                                                             | MARATHON OIL CORP COMMON STOCK USD1.0                   | CUSIP: 565849106<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | EC               | CORP              | US        |     36585 | NS      | $990355.95    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NEIGHBORLY ISSUER LLC                                                                                | NEIGHBORLY ISSUER LLC NBLY 2022 1A A2 144A              | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226290 | PA      | $179365.60    | 0.02%             | 2052-01-30      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                                                                            | NELNET STUDENT LOAN TRUST NSLT 2021 BA B 144A           | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $79442.03     | 0.01%             | 2062-04-20      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| SVB Financial Group                                                                                  | SVB FINANCIAL GROUP COMMON STOCK USD.001                | CUSIP: 78486Q101<br>LEI: 549300D2KJ20JMXE7542 | Long             | EC               | CORP              | US        |      3001 | NS      | $690650.14    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Henry Schein, Inc.                                                                                   | HENRY SCHEIN INC COMMON STOCK USD.01                    | CUSIP: 806407102<br>LEI: VGO3WGL8H45T73F4RR92 | Long             | EC               | CORP              | US        |     14232 | NS      | $1136709.84   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Marathon Petroleum Company                                                                           | MARATHON PETROLEUM CORP COMMON STOCK USD.01             | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     10821 | NS      | $1259456.19   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MarketAxess Holdings Inc.                                                                            | MARKETAXESS HOLDINGS INC COMMON STOCK USD.003           | CUSIP: 57060D108<br>LEI: 5493002U1CA1XJOVID83 | Long             | EC               | CORP              | US        |      4249 | NS      | $1185003.61   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                                                                            | NELNET STUDENT LOAN TRUST NSLT 2021 DA C 144A           | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $77970.17     | 0.01%             | 2062-04-20      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Netflix, Inc.                                                                                        | NETFLIX INC SR UNSECURED 11/28 5.875                    | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    310000 | PA      | $314194.30    | 0.03%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Companies, Inc.                                                                     | MARSH + MCLENNAN COS COMMON STOCK USD1.0                | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |     15174 | NS      | $2510993.52   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Masco Corporation                                                                                    | MASCO CORP COMMON STOCK USD1.0                          | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |     14845 | NS      | $692816.15    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Schlumberger Limited                                                                                 | SCHLUMBERGER LTD COMMON STOCK USD.01                    | CUSIP: 806857108<br>LEI: 213800ZUA17OK3QLGM62 | Long             | EC               | CORP              | CW        |     30196 | NS      | $1614278.16   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Selective Insurance Group Inc.                                                                       | SELECTIVE INSURANCE GROUP COMMON STOCK USD2.0           | CUSIP: 816300107<br>LEI: 549300R3WGJWLE40R258 | Long             | EC               | CORP              | US        |     11515 | NS      | $1020344.15   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Servicenow Inc                                                                                       | SERVICENOW INC COMMON STOCK USD.001                     | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      7206 | NS      | $2797873.62   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| The Sherwin-Williams Company                                                                         | SHERWIN WILLIAMS CO/THE COMMON STOCK USD1.0             | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     10472 | NS      | $2485319.76   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 42 LTD                                                            | NEUBERGER BERMAN CLO LTD NEUB 2021 42A D 144A           | CUSIP: 64133WAG0<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | US        |    301613 | PA      | $272821.84    | 0.02%             | 2035-07-16      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO LTD                                                               | NEUBERGER BERMAN CLO LTD NEUB 2021 43A D 144A           | CUSIP: 64134AAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $219100.89    | 0.02%             | 2035-07-17      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Signature Bank                                                                                       | SIGNATURE BANK COMMON STOCK USD.01                      | CUSIP: 82669G104<br>LEI: VLP5AP0XK2GM6GKD1007 | Long             | EC               | CORP              | US        |      6563 | NS      | $756188.86    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Simon Property Group Inc                                                                             | SIMON PROPERTY GROUP INC REIT USD.0001                  | CUSIP: 828806109<br>LEI: 529900GQL5X8H7AO3T64 | Long             | EC               | CORP              | US        |      7530 | NS      | $884624.40    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Nissan Motor Co Ltd                                                                                  | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    430000 | PA      | $389900.75    | 0.03%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                                | NOMURA HOLDINGS INC SR UNSECURED 01/32 2.999            | CUSIP: 65535HBA6<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1330000 | PA      | $1043459.09   | 0.09%             | 2032-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MasterCard Incorporated                                                                              | MASTERCARD INC   A COMMON STOCK USD.0001                | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |      5106 | NS      | $1775509.38   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Match Group Inc                                                                                      | MATCH GROUP INC COMMON STOCK                            | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Long             | EC               | CORP              | US        |     14561 | NS      | $604135.89    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Skyworks Solutions, Inc.                                                                             | SKYWORKS SOLUTIONS INC COMMON STOCK USD.25              | CUSIP: 83088M102<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | EC               | CORP              | US        |      5996 | NS      | $546415.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Stanley Black & Decker, Inc.                                                                         | STANLEY BLACK + DECKER INC COMMON STOCK USD2.5          | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |      9308 | NS      | $699216.96    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| McKesson Corporation                                                                                 | MCKESSON CORP COMMON STOCK USD.01                       | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |     11190 | NS      | $4197592.80   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co., Inc                                                                                     | MERCK + CO. INC. COMMON STOCK USD.5                     | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     49873 | NS      | $5533409.35   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Nucor Corporation                                                                                    | NUCOR CORP SR UNSECURED 05/27 4.3                       | CUSIP: 670346AY1<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    685000 | PA      | $668233.39    | 0.06%             | 2027-05-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc.                                                                             | O REILLY AUTOMOTIVE INC SR UNSECURED 09/27 3.6          | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5654.65      | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                                             | STATE STREET CORP COMMON STOCK USD1.0                   | CUSIP: 857477103<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EC               | CORP              | US        |     17884 | NS      | $1387261.88   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Synopsys Inc                                                                                         | SYNOPSYS INC COMMON STOCK USD.01                        | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |      6446 | NS      | $2058143.34   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Synchrony Financial                                                                                  | SYNCHRONY FINANCIAL COMMON STOCK USD.001                | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |     36316 | NS      | $1193343.76   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Sysco Corporation                                                                                    | SYSCO CORP COMMON STOCK USD1.0                          | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |     12538 | NS      | $958530.10    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| O'Reilly Automotive Inc.                                                                             | O REILLY AUTOMOTIVE INC SR UNSECURED 06/28 4.35         | CUSIP: 67103HAG2<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     47000 | PA      | $45623.52     | 0.00%             | 2028-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc.                                                                             | O REILLY AUTOMOTIVE INC SR UNSECURED 06/29 3.9          | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    232000 | PA      | $215986.61    | 0.02%             | 2029-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Teleflex Incorporated                                                                                | TELEFLEX INC COMMON STOCK USD1.0                        | CUSIP: 879369106<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | EC               | CORP              | US        |      4667 | NS      | $1165023.21   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Instruments Incorporated                                                                       | TEXAS INSTRUMENTS INC COMMON STOCK USD1.0               | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |      4132 | NS      | $682689.04    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| OCP CLO 2020-18 LTD                                                                                  | OCP CLO LTD OCP 2020 18A AR 144A                        | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    322000 | PA      | $314155.80    | 0.03%             | 2032-07-20      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| OAKTOWN RE VII LTD                                                                                   | OAKTOWN RE LTD OMIR 2021 2 M1A 144A                     | CUSIP: 67389JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    272026 | PA      | $262439.99    | 0.02%             | 2034-04-25      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Mettler-Toledo International Inc                                                                     | METTLER TOLEDO INTERNATIONAL COMMON STOCK USD.01        | CUSIP: 592688105<br>LEI: 5493000BD5GJNUDIUG10 | Long             | EC               | CORP              | US        |      3033 | NS      | $4384049.85   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corporation                                                                                | MICROSOFT CORP COMMON STOCK USD.00000625                | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    140467 | NS      | $33686795.94  | 2.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Textron Inc.                                                                                         | TEXTRON INC COMMON STOCK USD.125                        | CUSIP: 883203101<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | EC               | CORP              | US        |     12166 | NS      | $861352.80    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc                                                                         | THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.0        | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |      1664 | NS      | $916348.16    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Ochsner LSU Health System North Louisiana                                                            | OCHSNER LSU HEALTH SYST SECURED 05/31 2.51              | CUSIP: 67555JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $168711.58    | 0.01%             | 2031-05-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Odebrecht Finance Ltd                                                                                | OCTANE RECEIVABLES TRUST OCTL 2021 2A C 144A            | CUSIP: 67578AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    209000 | PA      | $183175.23    | 0.02%             | 2029-05-21      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Micron Technology Inc.                                                                               | MICRON TECHNOLOGY INC COMMON STOCK USD.1                | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |     15248 | NS      | $762095.04    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Moderna Inc                                                                                          | MODERNA INC COMMON STOCK USD.0001                       | CUSIP: 60770K107<br>LEI: 549300EI6OKH5K5Q2G38 | Long             | EC               | CORP              | US        |      9729 | NS      | $1747522.98   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown Castle Inc.                                                                                    | CROWN CASTLE INTL CORP SR UNSECURED 07/30 3.3           | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     67000 | PA      | $58611.15     | 0.01%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                                                            | DH EUROPE FINANCE II COMPANY GUAR 11/24 2.2             | CUSIP: 23291KAG0<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    129000 | PA      | $122912.42    | 0.01%             | 2024-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare, Inc.                                                                              | MOLINA HEALTHCARE INC COMMON STOCK USD.001              | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |      2842 | NS      | $938485.24    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Molson Coors Beverage Company                                                                        | MOLSON COORS BREWING CO  B COMMON STOCK USD.01          | CUSIP: 60871R209<br>LEI: 54930073LBBH6ZCBE225 | Long             | EC               | CORP              | US        |     17824 | NS      | $918292.48    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Oleoducto Central SA                                                                                 | OLEODUCTO CENTRAL SA SR UNSECURED 144A 07/27 4          | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |    410000 | PA      | $361701.24    | 0.03%             | 2027-07-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                                  | ONCOR ELECTRIC DELIVERY SR SECURED 11/28 3.7            | CUSIP: 68233JBH6<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1164000 | PA      | $1097728.72   | 0.10%             | 2028-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| 3M Company                                                                                           | 3M CO COMMON STOCK USD.01                               | CUSIP: 88579Y101<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | EC               | CORP              | US        |      9733 | NS      | $1167181.36   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Tractor Supply Co                                                                                    | TRACTOR SUPPLY COMPANY COMMON STOCK USD.008             | CUSIP: 892356106<br>LEI: 549300OJ9VZHZRO6I137 | Long             | EC               | CORP              | US        |      8614 | NS      | $1937891.58   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Monster Beverage Corp                                                                                | MONSTER BEVERAGE CORP COMMON STOCK                      | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     79451 | NS      | $8066660.03   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Motorola Solutions Inc                                                                               | MOTOROLA SOLUTIONS INC COMMON STOCK USD.01              | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |     11417 | NS      | $2942275.07   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Trex Company, Inc.                                                                                   | TREX COMPANY INC COMMON STOCK USD.01                    | CUSIP: 89531P105<br>LEI: 549300ER482WJT9UUX16 | Long             | EC               | CORP              | US        |     17519 | NS      | $741579.27    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Truist Financial Corporation                                                                         | TRUIST FINANCIAL CORP COMMON STOCK USD5.0               | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |     30921 | NS      | $1330530.63   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Oneok Inc.                                                                                           | ONEOK INC COMPANY GUAR 01/31 6.35                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    127000 | PA      | $129025.01    | 0.01%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                                           | ONEOK INC COMPANY GUAR 11/32 6.1                        | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     37000 | PA      | $36998.17     | 0.00%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                                                            | DH EUROPE FINANCE II COMPANY GUAR 11/29 2.6             | CUSIP: 23291KAH8<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     71000 | PA      | $62197.51     | 0.01%             | 2029-11-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2021-1 LLC                                                                                  | DEXT ABS DEXT 2021 1 C 144A                             | CUSIP: 23345CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264000 | PA      | $234365.68    | 0.02%             | 2028-09-15      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                                     | NRG ENERGY INC COMMON STOCK USD.01                      | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |     21279 | NS      | $677097.78    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Netflix, Inc.                                                                                        | NETFLIX INC COMMON STOCK USD.001                        | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |      5020 | NS      | $1480297.60   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Oneok Partners Lp                                                                                    | ONEOK PARTNERS LP COMPANY GUAR 02/41 6.125              | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    975000 | PA      | $919528.35    | 0.08%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2022-1                                                         | ONEMAIN DIRECT AUTO RECEIVABLE ODART 2022 1A C 144A     | CUSIP: 68269DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1043018.46   | 0.09%             | 2029-06-14      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Tyler Technologies Inc.                                                                              | TYLER TECHNOLOGIES INC COMMON STOCK USD.01              | CUSIP: 902252105<br>LEI: 25490040SMU4Z8LBCW70 | Long             | EC               | CORP              | US        |      7068 | NS      | $2278793.88   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Tyson Foods, Inc.                                                                                    | TYSON FOODS INC CL A COMMON STOCK USD.1                 | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |     14118 | NS      | $878845.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Nextera Energy Inc                                                                                   | NEXTERA ENERGY INC COMMON STOCK USD.01                  | CUSIP: 65339F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15344 | NS      | $1282758.40   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Nike, Inc.                                                                                           | NIKE INC  CL B COMMON STOCK                             | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     31164 | NS      | $3646499.64   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 07/40 5.375                    | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     43000 | PA      | $39458.68     | 0.00%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 05/35 3.9                      | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1039000 | PA      | $868877.23    | 0.08%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                                                        | US BANCORP COMMON STOCK USD.01                          | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     32710 | NS      | $1426483.10   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc.                                                                              | UNITEDHEALTH GROUP INC COMMON STOCK USD.01              | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     33834 | NS      | $17938110.12  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| NiSource Inc.                                                                                        | NISOURCE INC COMMON STOCK USD.01                        | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |     32673 | NS      | $895893.66    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Trust Corporation                                                                           | NORTHERN TRUST CORP COMMON STOCK USD1.667               | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |     12309 | NS      | $1089223.41   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Gen Digital Inc                                                                                      | NORTONLIFELOCK INC COMMON STOCK USD.01                  | CUSIP: 668771108<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | EC               | CORP              | US        |    162545 | NS      | $3483339.35   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp.                                                                                         | NVIDIA CORP COMMON STOCK USD.001                        | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     30498 | NS      | $4456977.72   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| V.F. Corp                                                                                            | VF CORP COMMON STOCK                                    | CUSIP: 918204108<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | EC               | CORP              | US        |     21864 | NS      | $603665.04    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Valero Energy Corporation                                                                            | VALERO ENERGY CORP COMMON STOCK USD.01                  | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |      9552 | NS      | $1211766.72   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Veeva Systems Inc                                                                                    | VEEVA SYSTEMS INC CLASS A COMMON STOCK USD.00001        | CUSIP: 922475108<br>LEI: 549300YZEXPDB92M2F02 | Long             | EC               | CORP              | US        |     26850 | NS      | $4333053.00   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Verisign, Inc.                                                                                       | VERISIGN INC COMMON STOCK USD.001                       | CUSIP: 92343E102<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | EC               | CORP              | US        |     15041 | NS      | $3090023.04   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| O'Reilly Automotive Inc.                                                                             | O REILLY AUTOMOTIVE INC COMMON STOCK USD.01             | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Long             | EC               | CORP              | US        |      3012 | NS      | $2542218.36   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Occidental Petroleum Corporation                                                                     | OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2            | CUSIP: 674599105<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | EC               | CORP              | US        |     14299 | NS      | $900694.01    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 04/30 2.95                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1796000 | PA      | $1531273.73   | 0.13%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 04/40 3.6                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    134000 | PA      | $98303.86     | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                                          | VERIZON COMMUNICATIONS INC COMMON STOCK USD.1           | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     45443 | NS      | $1790454.20   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Vertex Pharmaceuticals Incorporated                                                                  | VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01          | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     30246 | NS      | $8734439.88   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP COMMON STOCK USD.01                         | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     50702 | NS      | $4144381.48   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Otis Worldwide Corp.                                                                                 | OTIS WORLDWIDE CORP COMMON STOCK USD.01                 | CUSIP: 68902V107<br>LEI: 549300ZLBKR8VSU25153 | Long             | EC               | CORP              | US        |     12532 | NS      | $981380.92    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Paramount Global                                                                                     | PARAMOUNT GLOBAL CLASS B COMMON STOCK USD.001           | CUSIP: 92556H206<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | EC               | CORP              | US        |     38773 | NS      | $654488.24    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Viatris Inc                                                                                          | VIATRIS INC COMMON STOCK                                | CUSIP: 92556V106<br>LEI: 254900ZZTSW7NL773X71 | Long             | EC               | CORP              | US        |    111091 | NS      | $1236442.83   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Ovintiv Inc                                                                                          | OVINTIV INC COMMON STOCK                                | CUSIP: 69047Q102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16521 | NS      | $837779.91    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Owens Corning                                                                                        | OWENS CORNING COMMON STOCK USD.001                      | CUSIP: 690742101<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | EC               | CORP              | US        |      8620 | NS      | $735286.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 03/41 3.65                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     77000 | PA      | $56840.89     | 0.00%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                                   | ORACLE CORP SR UNSECURED 03/31 2.875                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    225000 | PA      | $186553.59    | 0.02%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                                             | VISA INC CLASS A SHARES COMMON STOCK USD.0001           | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     77248 | NS      | $16049044.48  | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| VMware Inc                                                                                           | VMWARE INC CLASS A  W/I COMMON STOCK USD.01             | CUSIP: 928563402<br>LEI: 549300BUDHS3LRWBE814 | Long             | EC               | CORP              | US        |     18517 | NS      | $2273146.92   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PPL Corporation                                                                                      | PPL CORP COMMON STOCK USD.01                            | CUSIP: 69351T106<br>LEI: 9N3UAJSNOUXFKQLF3V18 | Long             | EC               | CORP              | US        |     34891 | NS      | $1019515.02   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| PTC Inc                                                                                              | PTC INC COMMON STOCK USD.01                             | CUSIP: 69370C100<br>LEI: 54930050SSMU8SKDJ030 | Long             | EC               | CORP              | US        |     13164 | NS      | $1580206.56   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                                                                          | WALMART INC COMMON STOCK USD.1                          | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     26972 | NS      | $3824359.88   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                                                       | WALGREENS BOOTS ALLIANCE INC COMMON STOCK USD.01        | CUSIP: 931427108<br>LEI: 549300RPTUOIXG4LIH86 | Long             | EC               | CORP              | US        |     30512 | NS      | $1139928.32   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                                                       | PMT CREDIT RISK TRANSFER TRUST PMTCR 2019 2R A 144A     | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109087 | PA      | $104397.05    | 0.01%             | 2023-05-30      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| PT Freeport Indonesia                                                                                | FREEPORT INDONESIA PT SR UNSECURED 144A 04/27 4.763     | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    749000 | PA      | $719040.00    | 0.06%             | 2027-04-14      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                                     | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4           | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    985000 | PA      | $859721.25    | 0.08%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corporation                                                                          | PARKER HANNIFIN CORP SR UNSECURED 09/29 4.5             | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    868000 | PA      | $831760.49    | 0.07%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Waters Corporation                                                                                   | WATERS CORP COMMON STOCK USD.01                         | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |      3377 | NS      | $1156892.66   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| WestRock Company                                                                                     | WESTROCK CO COMMON STOCK                                | CUSIP: 96145D105<br>LEI: 5493004Z9TCQW68YVL89 | Long             | EC               | CORP              | US        |     17438 | NS      | $613120.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Paypal Holdings Incorporation                                                                        | PAYPAL HOLDINGS INC SR UNSECURED 10/29 2.85             | CUSIP: 70450YAE3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1254308.63   | 0.11%             | 2029-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                                          | PEPSICO INC SR UNSECURED 03/25 2.25                     | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1344028.23   | 0.12%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                                          | PEPSICO INC SR UNSECURED 03/27 2.625                    | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     58000 | PA      | $53870.47     | 0.00%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc.                                                                                   | SUNCOR ENERGY INC SR UNSECURED 05/38 6.8                | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   1561000 | PA      | $1635165.56   | 0.14%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Company                                                                                 | WEYERHAEUSER CO REIT USD1.25                            | CUSIP: 962166104<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | EC               | CORP              | US        |     24041 | NS      | $745271.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Williams-Sonoma Incorporation                                                                        | WILLIAMS SONOMA INC COMMON STOCK USD.01                 | CUSIP: 969904101<br>LEI: 549300IARG6YWVTZ1I92 | Long             | EC               | CORP              | US        |      5173 | NS      | $594481.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc.                                                                                          | PFIZER INC SR UNSECURED 04/30 2.625                     | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $948696.01    | 0.08%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                                     | PHILIP MORRIS INTL INC SR UNSECURED 11/25 5             | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    602000 | PA      | $604704.70    | 0.05%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                                     | PHILIP MORRIS INTL INC SR UNSECURED 11/29 5.625         | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    109000 | PA      | $110578.15    | 0.01%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Pilgrims Pride Corporation                                                                           | PILGRIM S PRIDE CORP COMPANY GUAR 144A 09/27 5.875      | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    347000 | PA      | $336581.78    | 0.03%             | 2027-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Pilgrims Pride Corporation                                                                           | PILGRIM S PRIDE CORP COMPANY GUAR 144A 04/31 4.25       | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $850555.00    | 0.07%             | 2031-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./PAA Finance Corp.                                                  | PLAINS ALL AMER PIPELINE SR UNSECURED 12/29 3.55        | CUSIP: 72650RBM3<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    136000 | PA      | $117920.95    | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PRESTIGE AUTO RECEIVABLES TRUST 2022-1                                                               | PRESTIGE AUTO RECEIVABLES TRUS PART 2022 1A A2 144A     | CUSIP: 74113RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    988000 | PA      | $987718.52    | 0.09%             | 2025-07-15      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| The Procter & Gamble Company                                                                         | PROCTER + GAMBLE CO/THE SR UNSECURED 03/30 3            | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     68000 | PA      | $62126.32     | 0.01%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                                            | PROSUS NV SR UNSECURED 144A 01/30 3.68                  | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    216000 | PA      | $179592.45    | 0.02%             | 2030-01-21      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Prosus NV                                                                                            | PROSUS NV SR UNSECURED 144A 01/27 3.257                 | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    629000 | PA      | $562298.85    | 0.05%             | 2027-01-19      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Public Service Enterprise Group Incorporated                                                         | PUBLIC SERVICE ENTERPRIS SR UNSECURED 11/27 5.85        | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    786000 | PA      | $808830.02    | 0.07%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Relx Capital Inc.                                                                                    | RELX CAPITAL INC COMPANY GUAR 05/32 4.75                | CUSIP: 74949LAE2<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62456.77     | 0.01%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                                      | XCEL ENERGY INC COMMON STOCK USD2.5                     | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |     27509 | NS      | $1928655.99   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Zebra Technologies Corporation                                                                       | ZEBRA TECHNOLOGIES CORP CL A COMMON STOCK USD.01        | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | EC               | CORP              | US        |      5415 | NS      | $1388460.15   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Paychex Inc                                                                                          | PAYCHEX INC COMMON STOCK USD.01                         | CUSIP: 704326107<br>LEI: 529900K900DW6SUBM174 | Long             | EC               | CORP              | US        |     26361 | NS      | $3046277.16   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Paycom Software Inc                                                                                  | PAYCOM SOFTWARE INC COMMON STOCK USD.01                 | CUSIP: 70432V102<br>LEI: 254900LSB0HNJUDC6Q18 | Long             | EC               | CORP              | US        |      1119 | NS      | $347236.89    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| REGATTA XX FUNDING LTD                                                                               | REGATTA XX FUNDING LTD REG20 2021 2A A 144A             | CUSIP: 75884YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450431 | PA      | $436023.89    | 0.04%             | 2034-10-16      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| REGATTA XXIV FUNDING LTD                                                                             | REGATTA XXIV FUNDING LTD. REG24 2021 5A D 144A          | CUSIP: 75889HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $406097.00    | 0.04%             | 2035-01-22      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| DEXT ABS 2021-1 LLC                                                                                  | DEXT ABS DEXT 2021 1 D 144A                             | CUSIP: 23345CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133000 | PA      | $115732.30    | 0.01%             | 2029-03-15      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                                                      | DANSKE BANK A/S SR UNSECURED 144A 04/28 4.298           | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1829000 | PA      | $1681806.85   | 0.15%             | 2028-04-01      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII                                                         | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    841192 | PA      | $819742.99    | 0.07%             | 2030-11-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower Clo 2021-1 Ltd / Rockford Tower Clo 2021-1 Llc                                        | ROCKFORD TOWER CLO LTD ROCKT 2021 1A D 144A             | CUSIP: 77341KAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    306626 | PA      | $263257.82    | 0.02%             | 2034-07-20      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG New York Branch                                                                     | DEUTSCHE BANK NY SR UNSECURED 01/28 VAR                 | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    204000 | PA      | $173409.09    | 0.02%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG New York Branch                                                                     | DEUTSCHE BANK NY SR UNSECURED 07/26 VAR                 | CUSIP: 25160PAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    256000 | PA      | $254287.13    | 0.02%             | 2026-07-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Rockford Tower Clo 2021-2 Ltd / Rockford Tower Clo 2021-2 Llc                                        | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1 144A            | CUSIP: 77341LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242480.16    | 0.02%             | 2034-07-20      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Ross Stores Inc                                                                                      | ROSS STORES INC SR UNSECURED 04/27 4.7                  | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275467.40    | 0.02%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                                             | DEVON ENERGY CORPORATION SR UNSECURED 07/41 5.6         | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    195000 | PA      | $181921.51    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                                             | DEVON ENERGY CORPORATION SR UNSECURED 01/30 4.5         | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1733000 | PA      | $1613411.70   | 0.14%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                                                                                | ROYAL CARIBBEAN CRUISES SR SECURED 144A 01/29 8.25      | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    416000 | PA      | $418028.00    | 0.04%             | 2029-01-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| SK Hynix Inc.                                                                                        | SK HYNIX INC SR UNSECURED 144A 01/31 2.375              | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    304000 | PA      | $222882.10    | 0.02%             | 2031-01-19      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Diamond Issuer Llc                                                                                   | DIAMOND ISSUER LLC SHINE 2021 1A B 144A                 | CUSIP: 25267TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271624 | PA      | $221196.87    | 0.02%             | 2051-11-20      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                                               | DIAMONDBACK ENERGY INC COMPANY GUAR 03/33 6.25          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    420000 | PA      | $426285.76    | 0.04%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                                       | S+P GLOBAL INC COMPANY GUAR 144A 08/28 4.75             | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15813.16     | 0.00%             | 2028-08-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| S&P Global Inc                                                                                       | S+P GLOBAL INC COMPANY GUAR 144A 05/29 4.25             | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     66000 | PA      | $62996.73     | 0.01%             | 2029-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Discover Financial Services                                                                          | DISCOVER FINANCIAL SVS JR SUBORDINA 12/99 VAR           | CUSIP: 254709AQ1<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    196000 | PA      | $190236.28    | 0.02%             | 2500-12-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                                        | DISCOVERY COMMUNICATIONS COMPANY GUAR 09/47 5.2         | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     75000 | PA      | $55711.59     | 0.00%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Sovereign ComlMtg                                                                                    | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2016 C5 A4         | CUSIP: 78419CAD6<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $230227.05    | 0.02%             | 2048-10-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC                                                                                      | SEB FUNDING LLC SEB4P 2021 1A A2 144A                   | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331170 | PA      | $279824.74    | 0.02%             | 2052-01-30      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                                        | DISCOVERY COMMUNICATIONS COMPANY GUAR 05/49 5.3         | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     35000 | PA      | $26463.09     | 0.00%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                                                 | DISH DBS CORP SR SECURED 144A 12/26 5.25                | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1021000 | PA      | $860024.04    | 0.08%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                                      | SANTANDER UK GROUP HLDGS SR UNSECURED 01/28 VAR         | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1374000 | PA      | $1173340.22   | 0.10%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc.                                                                          | SANTANDER HOLDINGS USA SR UNSECURED 01/28 VAR           | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1171146.22   | 0.10%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corporation                                                                                 | DISH DBS CORP SR SECURED 144A 12/28 5.75                | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    158000 | PA      | $126103.75    | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                                                                   | DOMINICAN REPUBLIC SR UNSECURED 144A 09/32 4.875        | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    250000 | PA      | $207515.27    | 0.02%             | 2032-09-23      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                                  | DOMINION ENERGY INC SR UNSECURED 04/30 3.375            | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1554000 | PA      | $1369410.18   | 0.12%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                                    | DOMINOS PIZZA MASTER ISSUER LL DPABS 2021 1A A2I 144A   | CUSIP: 25755TAN0<br>LEI: 25490005ZWM1IF9UXU57 | Long             | ABS-O            | CORP              | US        |    173360 | PA      | $144180.39    | 0.01%             | 2051-04-25      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2 LLC                                                                     | DONLEN FLEET LEASE FUNDING DFLF2 2021 2 C 144A          | CUSIP: 257812AF4<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $429614.61    | 0.04%             | 2034-12-11      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Dryden 78 Clo Ltd / Llc                                                                              | DRYDEN SENIOR LOAN FUND DRSLF 2020 78A A 144A           | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1463889.59   | 0.13%             | 2033-04-18      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Zions Bancorporation Natl Assn Global Bank                                                           | ZIONS BANCORP NA COMMON STOCK USD.001                   | CUSIP: 989701107<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | EC               | CORP              | US        |     19277 | NS      | $947657.32    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc.                                                                                          | ZOETIS INC COMMON STOCK USD.01                          | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     53899 | NS      | $7898898.45   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank National Association                                                                  | SANTANDER BANK AUTO CREDIT LIN SBCLN 2021 1A C 144A     | CUSIP: 80290CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394347 | PA      | $380723.16    | 0.03%             | 2031-12-15      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank National Association                                                                  | SANTANDER BANK AUTO CREDIT LIN SBCLN 2022 A B 144A      | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625217 | PA      | $610380.20    | 0.05%             | 2032-05-17      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Carolinas Nc Storm Funding LLC                                                           | DUKE ENERGY CAROLINAS NC SR SECURED 07/41 2.617         | CUSIP: 26443KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $145704.39    | 0.01%             | 2041-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                                      | EQT CORP SR UNSECURED 02/30 7.5                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1013000 | PA      | $1050602.56   | 0.09%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Zoom Video Communications Inc                                                                        | ZOOM VIDEO COMMUNICATIONS A COMMON STOCK USD.001        | CUSIP: 98980L101<br>LEI: 549300T9GCHU0ODOM055 | Long             | EC               | CORP              | US        |      6809 | NS      | $461241.66    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Amdocs Limited                                                                                       | AMDOCS LTD COMMON STOCK GBP.0001                        | CUSIP: G02602103<br>LEI: 549300HQV672RJ7RQV66 | Long             | EC               | CORP              | GG        |     24336 | NS      | $2212142.40   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank National Association                                                                  | SANTANDER BANK AUTO CREDIT LIN SBCLN 2022 B B 144A      | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762572 | PA      | $760136.12    | 0.07%             | 2032-08-16      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank National Association                                                                  | SANTANDER BANK AUTO CREDIT LIN SBCLN 2022 C B 144A      | CUSIP: 80290CBF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    998144 | PA      | $998288.93    | 0.09%             | 2032-12-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| EAGLE RE 2021-2 LTD                                                                                  | EAGLE RE LTD EMIR 2021 2 M1B 144A                       | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    152272 | PA      | $148284.39    | 0.01%             | 2034-04-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO IX LTD                                                                                   | ELMWOOD CLO IX LTD ELMW9 2021 2A D 144A                 | CUSIP: 29003UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $233814.56    | 0.02%             | 2034-07-20      | Floating      | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Everest Re Group Ltd.                                                                                | EVEREST RE GROUP LTD COMMON STOCK USD.01                | CUSIP: G3223R108<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |     10215 | NS      | $3383923.05   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Genpact Limited                                                                                      | GENPACT LTD COMMON STOCK USD.01                         | CUSIP: G3922B107<br>LEI: 529900OSEC6Q0L4L5B35 | Long             | EC               | CORP              | BM        |     65486 | NS      | $3033311.52   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Embraer Netherlands Finance B.V.                                                                     | EMBRAER NETHERLANDS FINA COMPANY GUAR 144A 01/28 6.95   | CUSIP: 29082HAC6<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    647000 | PA      | $647000.00    | 0.06%             | 2028-01-17      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| ENA Master Trust                                                                                     | ENA MASTER TRUST SR SECURED 144A 05/48 4                | CUSIP: 29249BAA3<br>LEI: 549300CBCHB6Q73VG753 | Long             | DBT              | CORP              | PA        |    203000 | PA      | $142097.15    | 0.01%             | 2048-05-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Medtronic PLC                                                                                        | MEDTRONIC PLC COMMON STOCK USD.1                        | CUSIP: G5960L103<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |     20513 | NS      | $1594270.36   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Willis Towers Watson Public Limited Company                                                          | WILLIS TOWERS WATSON PLC COMMON STOCK USD.000304635     | CUSIP: G96629103<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | IE        |     13975 | NS      | $3418005.50   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Enbridge Energy Partners L.P.                                                                        | ENBRIDGE ENERGY PARTNERS COMPANY GUAR 10/45 7.375       | CUSIP: 29250RAX4<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |    790000 | PA      | $882409.23    | 0.08%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Enel Chile S.A.                                                                                      | ENEL CHILE SA SR UNSECURED 06/28 4.875                  | CUSIP: 29278DAA3<br>LEI: 549300YM5CWCAUVOPB53 | Long             | DBT              | CORP              | CL        |    688000 | PA      | $670455.04    | 0.06%             | 2028-06-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                                                       | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR              | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    455000 | PA      | $394712.50    | 0.03%             | 2500-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 12 LTD                                                                               | SIGNAL PEAK CLO, LLC SPEAK 2022 12A C 144A              | CUSIP: 82671XAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1115000 | PA      | $1080298.22   | 0.09%             | 2034-07-18      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Spotify Technology S.A.                                                                              | SPOTIFY TECHNOLOGY SA COMMON STOCK EUR.000625           | CUSIP: L8681T102<br>LEI: 549300B4X0JHWV0DTD60 | Long             | EC               | CORP              | LU        |      7966 | NS      | $628915.70    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ASML Holding N.V.                                                                                    | ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09           | CUSIP: N07059210<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      3996 | NS      | $2183414.40   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL Finance International N.V.                                                                      | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/32 7.5        | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $845414.15    | 0.07%             | 2032-10-14      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Entegris Escrow Corp.                                                                                | ENTEGRIS ESCROW CORP SR SECURED 144A 04/29 4.75         | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    209000 | PA      | $190594.90    | 0.02%             | 2029-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| LyondellBasell Industries NV                                                                         | LYONDELLBASELL INDU CL A COMMON STOCK EUR.04            | CUSIP: N53745100<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |     22526 | NS      | $1870333.78   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Equifax Inc.                                                                                         | EQUIFAX INC SR UNSECURED 12/24 2.6                      | CUSIP: 294429AQ8<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |   1138000 | PA      | $1084725.16   | 0.10%             | 2024-12-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Equifax Inc.                                                                                         | EQUIFAX INC SR UNSECURED 12/25 2.6                      | CUSIP: 294429AR6<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    147000 | PA      | $136733.82    | 0.01%             | 2025-12-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Equifax Inc.                                                                                         | EQUIFAX INC SR UNSECURED 05/30 3.1                      | CUSIP: 294429AS4<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    240000 | PA      | $201923.03    | 0.02%             | 2030-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                                        | EQUINIX INC SR UNSECURED 11/29 3.2                      | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1689000 | PA      | $1470141.54   | 0.13%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| The Estee Lauder Companies Inc.                                                                      | ESTEE LAUDER CO INC SR UNSECURED 04/30 2.6              | CUSIP: 29736RAQ3<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |    412000 | PA      | $354070.07    | 0.03%             | 2030-04-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-6                                                           | EXETER AUTOMOBILE RECEIVABLES EART 2022 6A A2           | CUSIP: 30168AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1018000 | PA      | $1019159.50   | 0.09%             | 2025-11-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Expedia Group Inc                                                                                    | EXPEDIA GROUP INC COMPANY GUAR 08/27 4.625              | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |   1257000 | PA      | $1205906.53   | 0.11%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2021-2                                                                                     | FHF TRUST 2021 2 FHF 2021 2A A 144A                     | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79000 | PA      | $75099.86     | 0.01%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2018 C06 1M2                       | CUSIP: 30711X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    152458 | PA      | $150545.35    | 0.01%             | 2031-03-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2014 C04 1M2                       | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    156948 | PA      | $161032.65    | 0.01%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Skymiles Ip Limited & Delta Air Lines Incorporated                                                   | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/25 4.5      | CUSIP: 830867AA5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | KY        |    859058 | PA      | $838081.35    | 0.07%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Skymiles Ip Limited & Delta Air Lines Incorporated                                                   | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75     | CUSIP: 830867AB3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | KY        |    156000 | PA      | $146635.82    | 0.01%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Skyworks Solutions, Inc.                                                                             | SKYWORKS SOLUTIONS INC SR UNSECURED 06/31 3             | CUSIP: 83088MAL6<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   1331000 | PA      | $1043944.99   | 0.09%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The J M Smucker Company                                                                              | JM SMUCKER CO SR UNSECURED 03/30 2.375                  | CUSIP: 832696AS7<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    165000 | PA      | $136681.05    | 0.01%             | 2030-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                                | SOCIETE GENERALE 01/28 1                                | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $332464.56    | 0.03%             | 2028-01-19      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                                                         | SOUTHERN CO SR UNSECURED 04/30 3.7                      | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2032000 | PA      | $1833927.08   | 0.16%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                                               | STANDARD CHARTERED PLC 03/26 1                          | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1839000 | PA      | $1756507.57   | 0.15%             | 2026-03-30      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered PLC                                                                               | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR      | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    274000 | PA      | $282191.91    | 0.02%             | 2025-11-16      | Fixed         | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Stillwater Mining Company                                                                            | STILLWATER MINING CO COMPANY GUAR 144A 11/26 4          | CUSIP: 86074QAP7<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $263250.00    | 0.02%             | 2026-11-16      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                                                  | SUZANO AUSTRIA GMBH COMPANY GUAR 01/31 3.75             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     56000 | PA      | $46979.88     | 0.00%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                                  | SYNCHRONY FINANCIAL SR UNSECURED 12/27 3.95             | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    720000 | PA      | $642131.47    | 0.06%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                                  | SYNCHRONY FINANCIAL SR UNSECURED 06/25 4.875            | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    696000 | PA      | $678154.06    | 0.06%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2015 C02 1M2                       | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     15941 | PA      | $16020.67     | 0.00%             | 2025-05-27      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2015 C03 1M2                       | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     87123 | PA      | $88423.46     | 0.01%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                                                    | SYSCO CORPORATION COMPANY GUAR 02/30 2.4                | CUSIP: 871829BK2<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     72000 | PA      | $59845.57     | 0.01%             | 2030-02-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                                                    | SYSCO CORPORATION COMPANY GUAR 04/30 5.95               | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   1279000 | PA      | $1323708.54   | 0.12%             | 2030-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Ticp Clo XV Ltd / Llc                                                                                | TICP CLO LTD TICP 2020 15A A 144A                       | CUSIP: 87250RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1568788.03   | 0.14%             | 2033-04-20      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC SR SECURED 04/30 3.875                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1293000 | PA      | $1171218.47   | 0.10%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2015 C04 1M2                       | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     52924 | PA      | $55826.54     | 0.00%             | 2028-04-25      | Floating      | 10.09%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2016 C01 1M2                       | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     60677 | PA      | $63350.34     | 0.01%             | 2028-08-25      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2017 C07 1B1                       | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    300000 | PA      | $307461.27    | 0.03%             | 2030-05-28      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FANNIE MAE   CAS CAS 2018 C05 1M2                       | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    697978 | PA      | $699582.79    | 0.06%             | 2031-01-27      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| AB ISSUER LLC                                                                                        | AB ISSUER LLC AUTHB 2021 1 A2 144A                      | CUSIP: 00091JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317600 | PA      | $253287.91    | 0.02%             | 2051-07-30      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZK8962 FR 09/32 FIXED 3               | CUSIP: 3131XC5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     49985 | PA      | $47562.28     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZK9009 FR 10/32 FIXED 3               | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     18572 | PA      | $17645.19     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACM AUTO TRUST 2022-1                                                                                | ACM AUTO TRUST ACMAT 2022 1A A 144A                     | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81409 | PA      | $81199.83     | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| AES Panama Generation Holdings S R L                                                                 | AES PANAMA GENERATION HL SR SECURED 144A 05/30 4.375    | CUSIP: 00109AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    285000 | PA      | $247579.50    | 0.02%             | 2030-05-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZK9163 FR 01/33 FIXED 3               | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29219 | PA      | $27806.03     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM1434 FR 07/46 FIXED 3.5             | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     21862 | PA      | $20385.40     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO 10 LTD                                                                                       | AGL CLO LTD. AGL 2021 10A A 144A                        | CUSIP: 00119YAA1<br>LEI: 549300AEMLN0HO8ST474 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $582693.86    | 0.05%             | 2034-04-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Agl Clo 12 Ltd / Llc                                                                                 | AGL CLO 1 LTD. AGL 2021 12A D 144A                      | CUSIP: 00120BAJ9<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $230030.55    | 0.02%             | 2034-07-20      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC COMPANY GUAR 02/29 2.625               | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     46000 | PA      | $38940.42     | 0.00%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC COMPANY GUAR 02/31 2.875               | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    143000 | PA      | $118164.93    | 0.01%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM4821 FR 11/47 FIXED 3.5             | CUSIP: 3131XYLA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24944 | PA      | $23187.14     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM4939 FR 11/47 FIXED 3.5             | CUSIP: 3131XYPY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45951 | PA      | $43021.04     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIB Group PLC                                                                                        | AIB GROUP PLC SR UNSECURED 144A 10/26 7.583             | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1611000 | PA      | $1640321.71   | 0.14%             | 2026-10-14      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| AT&T Inc                                                                                             | AT+T INC SR UNSECURED 09/59 3.65                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     33000 | PA      | $22087.92     | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                                          | ABBVIE INC SR UNSECURED 11/24 2.6                       | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    165000 | PA      | $157848.79    | 0.01%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                                          | ABBVIE INC SR UNSECURED 03/23 2.8                       | CUSIP: 00287YCU1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13943.99     | 0.00%             | 2023-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM5102 FR 12/47 FIXED 3.5             | CUSIP: 3131XYU31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53950 | PA      | $50149.25     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM5228 FR 12/47 FIXED 3.5             | CUSIP: 3131XYYZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31247 | PA      | $29254.97     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC COMPANY GUAR 04/26 2.625               | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64148.78     | 0.01%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC COMPANY GUAR 04/29 3.375               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     28000 | PA      | $24661.55     | 0.00%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                                          | ABBVIE INC SR UNSECURED 03/25 3.8                       | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1203642.78   | 0.11%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc.                                                                              | ADVANCE AUTO PARTS COMPANY GUAR 04/30 3.9               | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1169775.86   | 0.10%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM6220 FR 04/48 FIXED 4               | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13484 | PA      | $12856.79     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM6276 FR 04/48 FIXED 4               | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     39271 | PA      | $37739.11     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc.                                                                              | ADVANCE AUTO PARTS COMPANY GUAR 03/32 3.5               | CUSIP: 00751YAG1<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2461.25      | 0.00%             | 2032-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                                           | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/25 6.5         | CUSIP: 00774MAN5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    271000 | PA      | $274598.32    | 0.02%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                                   | T MOBILE USA INC SR SECURED 02/31 2.55                  | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     94000 | PA      | $76790.49     | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Tencent Holdings Limited                                                                             | TENCENT HOLDINGS LTD SR UNSECURED 144A 06/50 3.24       | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    201000 | PA      | $127056.05    | 0.01%             | 2050-06-03      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM5705 FR 02/48 FIXED 3.5             | CUSIP: 3131Y0KS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     15216 | PA      | $14245.72     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM5707 FR 02/48 FIXED 3.5             | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9739 | PA      | $9053.13      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tengizchevroil Finance Company International Ltd.                                                    | TENGIZCHEVROIL FIN CO IN SR SECURED 144A 08/30 3.25     | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |    487000 | PA      | $344391.79    | 0.03%             | 2030-08-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Spectrum Management Holding Company LLC                                                              | TIME WARNER CABLE LLC SR SECURED 07/38 7.3              | CUSIP: 88732JAN8<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    811000 | PA      | $804489.39    | 0.07%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                                                    | AFFIRM INC AFFRM 2021 Z1 A 144A                         | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85497 | PA      | $83088.30     | 0.01%             | 2025-08-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                                                    | AFFIRM INC AFFRM 2021 Z2 A 144A                         | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54168 | PA      | $51821.96     | 0.00%             | 2026-11-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corporation                                                                                | AIR LEASE CORP SR UNSECURED 04/27 3.625                 | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13667.08     | 0.00%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                                | AIR LEASE CORP SR UNSECURED 10/28 4.625                 | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    883000 | PA      | $825905.75    | 0.07%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FIN AUTH WEST VA                                                                  | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3     | CUSIP: 88880LAV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     72016 | PA      | $64627.21     | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRIANGLE RE LTD                                                                                      | GENWORTH MORTGAGE INSURANCE CO TMIR 2021 3 M1B 144A     | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    240000 | PA      | $225118.87    | 0.02%             | 2034-02-25      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corporation                                                                                | AIR LEASE CORP SR UNSECURED 01/26 2.875                 | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25907.16     | 0.00%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                                | AIR LEASE CORP SR UNSECURED 09/28 2.1                   | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    107000 | PA      | $87151.21     | 0.01%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM5945 FR 03/48 FIXED 4               | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28521 | PA      | $27528.04     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZM6427 FR 05/48 FIXED 4               | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     89965 | PA      | $85794.98     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                                                                         | TRUIST FINANCIAL CORP JR SUBORDINA 12/99 VAR            | CUSIP: 89832QAF6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    256000 | PA      | $236800.00    | 0.02%             | 2500-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                                         | UBS GROUP AG SR UNSECURED 144A 05/26 VAR                | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    267000 | PA      | $260956.07    | 0.02%             | 2026-05-12      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Limited                                                                                    | AIRCASTLE LTD SR UNSECURED 05/24 4.125                  | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     58000 | PA      | $56065.65     | 0.00%             | 2024-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Aircastle Limited                                                                                    | AIRCASTLE LTD SR UNSECURED 06/26 4.25                   | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     21000 | PA      | $19749.07     | 0.00%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Aircastle Limited                                                                                    | AIRCASTLE LTD SR UNSECURED 144A 08/25 5.25              | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   1269000 | PA      | $1220445.19   | 0.11%             | 2025-08-11      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Limited                                                                                    | AIRCASTLE LTD SR UNSECURED 144A 01/28 2.85              | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    332000 | PA      | $271528.31    | 0.02%             | 2028-01-26      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| UniCredit S.p.A.                                                                                     | UNICREDIT SPA SR UNSECURED 144A 06/32 3.127             | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $150324.55    | 0.01%             | 2032-06-03      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2                                                       | UNITED AUTO CREDIT SECURITIZAT UACST 2022 2 A 144A      | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598023 | PA      | $595185.45    | 0.05%             | 2025-04-10      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Ovintiv Inc                                                                                          | OVINTIV INC COMPANY GUAR 11/31 7.375                    | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    985000 | PA      | $1048420.76   | 0.09%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                | ALBERTSONS COS/SAFEWAY COMPANY GUAR 144A 02/30 4.875    | CUSIP: 013092AE1<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    971000 | PA      | $866578.66    | 0.08%             | 2030-02-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 08/42 2.75                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2036600 | PA      | $1637474.14   | 0.14%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1246800 | PA      | $876461.44    | 0.08%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                | ALBERTSONS COS/SAFEWAY SR UNSECURED 144A 03/29 3.5      | CUSIP: 013092AG6<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    156000 | PA      | $130882.44    | 0.01%             | 2029-03-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard Inc.                                                                        | ALIMENTATION COUCHE TARD SR UNSECURED 144A 01/30 2.95   | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     77000 | PA      | $65254.07     | 0.01%             | 2030-01-25      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Alleghany Corp                                                                                       | ALLEGHANY CORP SR UNSECURED 05/30 3.625                 | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |    291000 | PA      | $269883.80    | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1523097 | PA      | $1238978.88   | 0.11%             | 2052-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZN2165 FR 12/48 FIXED 4.5             | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     44330 | PA      | $44134.15     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZA4718 FR 10/46 FIXED 3               | CUSIP: 31329NG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    133547 | PA      | $119520.91    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    338600 | PA      | $244717.86    | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 02/51 1.875                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    263000 | PA      | $167148.83    | 0.01%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15030022 | PA      | $12723128.70  | 1.12%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4172412 | PA      | $3660746.03   | 0.32%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6605359 | PA      | $5999665.55   | 0.53%             | 2052-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2881017 | PA      | $2701414.23   | 0.24%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 05/51 2.375                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    338200 | PA      | $242632.08    | 0.02%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 08/51 2                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    866300 | PA      | $567223.46    | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZS4598 FR 01/45 FIXED 3               | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16956 | PA      | $15278.47     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZS7403 FR 05/31 FIXED 3               | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    151994 | PA      | $145771.90    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649045 | PA      | $608618.06    | 0.05%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -649045 | PA      | $-608618.06   | -0.05%            | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZS9830 FR 10/46 FIXED 3.5             | CUSIP: 3132AA4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    176945 | PA      | $164327.77    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZT0272 FR 02/47 FIXED 3.5             | CUSIP: 3132ACJR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    102907 | PA      | $95556.86     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 08/41 1.75                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2584800 | PA      | $1768871.54   | 0.16%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    656500 | PA      | $468756.39    | 0.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2854498 | PA      | $2746758.66   | 0.24%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2854498 | PA      | $2746758.48   | 0.24%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZT0337 FR 12/44 FIXED 3.5             | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     17643 | PA      | $16505.25     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZT0537 FR 03/48 FIXED 3.5             | CUSIP: 3132ACS27<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    140294 | PA      | $130931.35    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2854498 | PA      | $-2746758.48  | -0.24%            | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                                   | ALTRIA GROUP INC COMPANY GUAR 02/29 4.8                 | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    106000 | PA      | $101709.96    | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL ZT1633 FR 03/47 FIXED 4               | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8967 | PA      | $8589.38      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL SB0040 FR 12/33 FIXED 2.5             | CUSIP: 3132CWBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207219 | PA      | $193760.34    | 0.02%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                                   | ALTRIA GROUP INC COMPANY GUAR 05/30 3.4                 | CUSIP: 02209SBJ1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1934000 | PA      | $1653090.72   | 0.15%             | 2030-05-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                                     | AMAZON.COM INC SR UNSECURED 12/27 4.55                  | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1021000 | PA      | $1017614.76   | 0.09%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL SB0116 FR 11/34 FIXED 2.5             | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52807 | PA      | $48656.81     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL SD0932 FR 04/52 FIXED 2.5             | CUSIP: 3132DNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    702572 | PA      | $599976.16    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 02/52 2.25                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16994700 | PA      | $11817954.97  | 1.04%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 02/42 2.375                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    268200 | PA      | $204774.89    | 0.02%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Ameren Corporation                                                                                   | AMEREN CORP SR UNSECURED 01/31 3.5                      | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    669000 | PA      | $591672.04    | 0.05%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022-3                                                  | AMERICAN CREDIT ACCEPTANCE REC ACAR 2022 3 A 144A       | CUSIP: 02528GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960772 | PA      | $953971.99    | 0.08%             | 2026-02-13      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL Q55394 FG 04/48 FIXED 3.5             | CUSIP: 3132XX7G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12053 | PA      | $11183.53     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL Q54793 FG 03/48 FIXED 4.5             | CUSIP: 3132XXKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31202 | PA      | $30517.46     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 05/52 2.875                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1371700 | PA      | $1099074.63   | 0.10%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24263600 | PA      | $21272353.06  | 1.87%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                                           | AMERICAN TOWER CORP SR UNSECURED 08/29 3.8              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1319937.05   | 0.12%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                                           | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    138000 | PA      | $128889.30    | 0.01%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL G60658 FG 07/46 FIXED 3.5             | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179209 | PA      | $169226.31    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL G61737 FG 11/48 FIXED 3.5             | CUSIP: 31335B4W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153740 | PA      | $142684.06    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                                           | AMERICAN TOWER CORP SR UNSECURED 03/32 4.05             | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62425.72     | 0.01%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                                                          | AMERICAN WATER CAPITAL C SR UNSECURED 05/30 2.8         | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1002000 | PA      | $866363.89    | 0.08%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1362900 | PA      | $1364816.58   | 0.12%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                                         | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2942700 | PA      | $2881087.22   | 0.25%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL G61360 FG 03/48 FIXED 3.5             | CUSIP: 31335BQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38266 | PA      | $35498.29     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QD8682 FR 03/52 FIXED 3               | CUSIP: 3133B6UF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    682798 | PA      | $602439.85    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                                           | AMGEN INC SR UNSECURED 02/32 3.35                       | CUSIP: 031162DE7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    159000 | PA      | $138866.57    | 0.01%             | 2032-02-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC                                                            | AXIS EQUIPMENT FINANCE RECEIVA AXIS 2022 2A A2 144A     | CUSIP: 03236XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    464000 | PA      | $458878.09    | 0.04%             | 2028-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QE0805 FR 04/52 FIXED 2.5             | CUSIP: 3133B93N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    638378 | PA      | $543550.49    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QE0808 FR 04/52 FIXED 2.5             | CUSIP: 3133B93R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    681279 | PA      | $579760.67    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 11/24 2.25                              | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1865000 | PA      | $1791201.37   | 0.16%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 03/25 0.5                               | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6986200 | PA      | $6416388.06   | 0.56%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                                           | ANGLO AMERICAN CAPITAL COMPANY GUAR 144A 03/29 3.875    | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $318714.08    | 0.03%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| APA Corp.                                                                                            | APACHE CORP SR UNSECURED 01/30 4.25                     | CUSIP: 037411BF1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $884906.79    | 0.08%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QN0783 FR 10/34 FIXED 3               | CUSIP: 3133G62Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28884 | PA      | $27113.27     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QN0786 FR 10/34 FIXED 3               | CUSIP: 3133G62T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63053 | PA      | $59172.25     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                                         | US TREASURY N/B 02/32 1.875                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37869800 | PA      | $32125720.48  | 2.82%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                                           | APPLE INC SR UNSECURED 08/30 1.25                       | CUSIP: 037833DY3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $842373.31    | 0.07%             | 2030-08-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                                           | APPLE INC SR UNSECURED 08/62 4.1                        | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    663000 | PA      | $551093.83    | 0.05%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL QN0951 FR 11/34 FIXED 2.5             | CUSIP: 3133G7BU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44539 | PA      | $41005.38     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FED HM LN PC POOL RA6963 FR 03/52 FIXED 2               | CUSIP: 3133KNWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1054285 | PA      | $861794.26    | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AREIT 2021-CRE6 LTD                                                                                  | AREIT CRE TRUST 11/24 1                                 | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    491980 | PA      | $470972.81    | 0.04%             | 2024-11-17      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| ATALAYA EQUIPMENT LEASING TRUST 2021-1                                                               | ATALAYA EQUIPMENT LEASING FUND AELF 2021 1A C 144A      | CUSIP: 046497AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $280223.10    | 0.02%             | 2028-06-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC FHR 4981 HS                                 | CUSIP: 3137FTV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    721395 | PA      | $69599.78     | 0.01%             | 2050-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                               | FREDDIE MAC FHR 5015 BI                                 | CUSIP: 3137FVTE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    515428 | PA      | $96322.35     | 0.01%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Autozone, Inc.                                                                                       | AUTOZONE INC SR UNSECURED 04/29 3.75                    | CUSIP: 053332AW2<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    303000 | PA      | $279402.60    | 0.02%             | 2029-04-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Autozone, Inc.                                                                                       | AUTOZONE INC SR UNSECURED 01/31 1.65                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $783602.82    | 0.07%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL5310 FN 04/44 FIXED VAR                     | CUSIP: 3138EM3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2167 | PA      | $2026.08      | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL5887 FN 10/44 FIXED VAR                     | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12831 | PA      | $12667.21     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                                                            | AVANT LOANS FUNDING TRUST AVNT 2021 REV1 A 144A         | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441000 | PA      | $420026.30    | 0.04%             | 2030-07-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 10/25 4.875    | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     57000 | PA      | $53712.47     | 0.00%             | 2025-10-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 11/27 3.5      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43671.87     | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 08/25 4.125    | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2798.63      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL6542 FN 03/45 FIXED VAR                     | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19639 | PA      | $19388.13     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL6620 FN 08/42 FIXED VAR                     | CUSIP: 3138EPLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120725 | PA      | $118484.73    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 01/24 4.375    | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48744.34     | 0.00%             | 2024-01-30      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 12/24 5.5      | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    148000 | PA      | $145370.69    | 0.01%             | 2024-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL6997 FN 11/42 FIXED VAR                     | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8812 | PA      | $8735.42      | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AL8855 FN 07/46 FIXED VAR                     | CUSIP: 3138ETZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7502 | PA      | $6968.86      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AS7168 FN 05/46 FIXED 3.5                     | CUSIP: 3138WG6E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15521 | PA      | $14411.25     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AS7587 FN 07/46 FIXED 3.5                     | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90231 | PA      | $83809.55     | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 01/26 1.95     | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    181000 | PA      | $157574.67    | 0.01%             | 2026-01-30      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 09/26 1.95     | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   2008000 | PA      | $1701099.83   | 0.15%             | 2026-09-20      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                                             | AVIS BUDGET RENTAL CAR FUNDING 03/24 4.56               | CUSIP: 05377REW0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    592500 | PA      | $590533.38    | 0.05%             | 2024-03-20      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST                                                                                 | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 BID A 144A    | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301000 | PA      | $290494.38    | 0.03%             | 2037-10-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems PLC                                                                                      | BAE SYSTEMS PLC SR UNSECURED 144A 04/30 3.4             | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176482.72    | 0.02%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                                           | BAT CAPITAL CORP COMPANY GUAR 04/27 4.7                 | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172546.40    | 0.02%             | 2027-04-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AS7822 FN 08/46 FIXED 3.5                     | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173510 | PA      | $161017.20    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL AZ9203 FN 10/45 FIXED 3                       | CUSIP: 3140E2GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17092 | PA      | $15403.20     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                                           | BAT CAPITAL CORP COMPANY GUAR 03/28 2.259               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1211687.05   | 0.11%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                                           | BAT CAPITAL CORP COMPANY GUAR 10/32 7.75                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    189000 | PA      | $203283.67    | 0.02%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BA2885 FN 10/45 FIXED 3                       | CUSIP: 3140E7F39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39214 | PA      | $35048.68     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BA4752 FN 01/46 FIXED 3                       | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5036 | PA      | $4514.79      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD 2021-FPM MORTGAGE TRUST                                                                         | BFLD TRUST BFLD 2021 FPM A 144A                         | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462000 | PA      | $440656.71    | 0.04%             | 2038-06-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| BREX COMMERCIAL CHARGE CARD MASTER TRUST                                                             | BREX INC BREX 2021 1 A 144A                             | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167000 | PA      | $165188.15    | 0.01%             | 2024-07-15      | Fixed         | 2.09%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                                                                             | BX TRUST BX 2019 IMC E 144A                             | CUSIP: 05608BAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320787 | PA      | $299915.25    | 0.03%             | 2034-04-17      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LIMITED                                                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A D 144A       | CUSIP: 05685AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $224304.72    | 0.02%             | 2034-10-20      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BC1520 FN 08/46 FIXED 3.5                     | CUSIP: 3140EVVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138334 | PA      | $128460.24    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BC2468 FN 03/46 FIXED 3                       | CUSIP: 3140EWW68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92452 | PA      | $82552.79     | 0.01%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding 2021-1 Ltd / Llc                                                             | BALBOA BAY LOAN FUNDING LTD BOBA 2021 1A D 144A         | CUSIP: 05765XAJ0<br>LEI: 549300MALKZHG9DP8554 | Long             | ABS-CBDO         | CORP              | KY        |    307948 | PA      | $272867.84    | 0.02%             | 2034-07-20      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Balboa Bay Ln Fdg 2020-1 Llc / Balboa Bay Ln Fdg 2020-1 Ltd                                          | BALBOA BAY LOAN FUNDING LTD BOBA 2020 1A AR 144A        | CUSIP: 05766BAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1464660.59   | 0.13%             | 2032-01-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BC2488 FN 03/46 FIXED 3                       | CUSIP: 3140EWXS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104367 | PA      | $93266.05     | 0.01%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BC9077 FN 12/46 FIXED 3.5                     | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10073 | PA      | $9347.88      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BH1902 FN 12/47 FIXED 3.5                     | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8766 | PA      | $8227.05      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BH3892 FN 08/47 FIXED 3.5                     | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20582 | PA      | $19089.48     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALLYROCK CLO LTD                                                                                    | BALLYROCK LTD BALLY 2021 1A C 144A                      | CUSIP: 05875TAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $219902.73    | 0.02%             | 2034-04-17      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK CLO 16 LTD                                                                                 | BALLYROCK LTD 07/34 1                                   | CUSIP: 05876KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $231250.07    | 0.02%             | 2034-07-20      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BH6940 FN 08/47 FIXED 3.5                     | CUSIP: 3140GVWA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18068 | PA      | $16765.61     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ1692 FN 12/47 FIXED 3.5                     | CUSIP: 3140H23A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43604 | PA      | $40824.47     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ1695 FN 12/47 FIXED 3.5                     | CUSIP: 3140H23D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6352 | PA      | $5887.75      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ4558 FN 01/48 FIXED 3.5                     | CUSIP: 3140H6B40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32009 | PA      | $29968.37     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ4559 FN 01/48 FIXED 3.5                     | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12371 | PA      | $11555.36     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ4566 FN 01/48 FIXED 4                       | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105893 | PA      | $102205.25    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ4567 FN 01/48 FIXED 4                       | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153018 | PA      | $147050.47    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BJ5170 FN 03/48 FIXED 3.5                     | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8596 | PA      | $8067.07      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BK1964 FN 03/48 FIXED 4                       | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31565 | PA      | $30466.05     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BK1975 FN 03/48 FIXED 3.5                     | CUSIP: 3140HFFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20009 | PA      | $18733.86     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BK3211 FN 03/48 FIXED 4.5                     | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35449 | PA      | $34752.10     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BK4157 FN 05/48 FIXED 4                       | CUSIP: 3140HHTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42746 | PA      | $40824.98     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM3511 FN 02/46 FIXED VAR                     | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70583 | PA      | $69971.38     | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM3282 FN 12/47 FIXED VAR                     | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5547 | PA      | $5202.71      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM4427 FN 04/48 FIXED VAR                     | CUSIP: 3140J84M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64627 | PA      | $59900.68     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM3912 FN 03/47 FIXED VAR                     | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110909 | PA      | $99374.65     | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM5334 FN 01/49 FIXED VAR                     | CUSIP: 3140J94U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33813 | PA      | $31318.42     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM4735 FN 04/48 FIXED VAR                     | CUSIP: 3140J9HM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78729 | PA      | $73712.96     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM4896 FN 02/47 FIXED VAR                     | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730793 | PA      | $665003.58    | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BM5138 FN 11/48 FIXED VAR                     | CUSIP: 3140J9V81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144442 | PA      | $135238.59    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BN0012 FN 08/48 FIXED 4.5                     | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20065 | PA      | $19591.90     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL BO3223 FN 10/34 FIXED 3                       | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26719 | PA      | $25072.10     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BO4725 FN 11/34 FIXED 2.5                     | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43729 | PA      | $40264.95     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BO5957 FN 12/34 FIXED 3                       | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5603 | PA      | $5259.10      | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BO7717 FN 11/34 FIXED 3                       | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5559 | PA      | $5217.20      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BU1240 FN 03/52 FIXED 3                       | CUSIP: 3140M2LW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044060 | PA      | $920937.44    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BU1349 FN 02/52 FIXED 3                       | CUSIP: 3140M2QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825897 | PA      | $729050.96    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BU8919 FN 04/52 FIXED 2.5                     | CUSIP: 3140MA4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683587 | PA      | $582255.48    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL BU8922 FN 04/52 FIXED 2.5                     | CUSIP: 3140MA4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651818 | PA      | $554588.65    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                | FNMA POOL CA0108 FN 08/47 FIXED 3.5                     | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19030 | PA      | $17859.33     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                     | FNMA POOL CB1113 FN 07/51 FIXED 2                       | CUSIP: 3140QLGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092818 | PA      | $891352.62    | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-16

**Name of Applicant:** Ohio National Fund, Inc.

**Signature:** R. Todd Brockman

**Name of Signer:** R. Todd Brockman

**Title:** Treasurer