# EDGAR Filing Document

**Accession Number:** 0000803013
**File Stem:** 0001752724-23-034968
**Filing Date:** 2023-2
**Character Count:** 859321
**Document Hash:** 0a9144eb564ec1dd059c081b28c55496
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034968.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034968

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY GARRISON STREET TRUST
- **CENTRAL INDEX KEY:** 0000803013
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04861
- **FILM NUMBER:** 23657035

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY ADVISOR SERIES V
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES /NY/
- **DATE OF NAME CHANGE:** 19920206

## Series and Classes Contracts Data

### Fidelity VIP Investment Grade Central Fund (Series ID: S000013236)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000035576 | Fidelity VIP Investment Grade Central Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Garrison Street Trust

- **b. Investment Company Act file number:** 811-04861

- **c. CIK number of Registrant:** 0000803013

- **d. LEI of Registrant:** GZF76QJ38YQDHAIO0Y79

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** VIP Investment Grade Central Fund

- **b. EDGAR series identifier (if any):** S000013236

- **c. LEI of Series:** OWUVAQDA1170JQA75H59

**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:** $3085743415.42

**Total Liabilities:** $633925912.63

**Net Assets:** $2451817502.79

**Delayed Delivery Securities:** $393742800.86

**Cash Not Reported:** $190619.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 29352.75159677 | **1-Year:** 181345.01612929 | **5-Year:** 453597.35502268 | **10-Year:** 470273.34854155 | **30-Year:** 316712.01274148

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

- **3-Month:** 820.44157551 | **1-Year:** 6348.82944086 | **5-Year:** 17296.78121997 | **10-Year:** 5033.18504911 | **30-Year:** 537.57835810

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000035576 | -1.25%               | 3.65%                | -0.59%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6819989.82             | $-26473525.33                              |
| Month 2  | $-6243516.14             | $79461259.46                               |
| Month 3  | $6655874.70              | $-29831815.94                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** 19808143

### 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 GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BT1461                                                                         | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52370 | PA      | $43065.42     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51788 | PA      | $54123.02     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                         | KITE RLTY GROUP TRUST 4% 03/15/2025                                                               | CUSIP: 76131VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1818725.83   | 0.07%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2193000 | PA      | $2187499.30   | 0.09%             | 2023-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                  | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15660 | PA      | $14248.73     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/48#BJ8805                                                                         | CUSIP: 3140HAYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13291 | PA      | $12742.46     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                  | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198157 | PA      | $180296.04    | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 02/01/2053 #TBA                                                                    | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  26400000 | PA      | $22402876.32  | 0.91%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK9019                                                                           | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46248 | PA      | $44733.28     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                 | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                            | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3389831 | PA      | $2732582.68   | 0.11%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                           | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1788000 | PA      | $1538323.23   | 0.06%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | DEUTSCHE BANK AG 4.5% 04/01/2025                                                                  | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3669000 | PA      | $3486206.93   | 0.14%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AV6611                                                                  | CUSIP: 3138XJKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62949 | PA      | $62343.85     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                  | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96521 | PA      | $87820.81     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773113                                                                           | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1886 | PA      | $1813.91      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BM1884                                                                    | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70681 | PA      | $67120.72     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC1823                                                                    | CUSIP: 3140EWAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9820 | PA      | $9476.26      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479607                                                                          | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15484 | PA      | $14858.45     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2047#MA4322                                                                      | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112704 | PA      | $108519.69    | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/29 #517793                                                                          | CUSIP: 31384AGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $78.78        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1183000 | PA      | $1093552.42   | 0.04%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                    | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                  | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1942367 | PA      | $1589306.21   | 0.06%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #545176                                                                           | CUSIP: 36212VT90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       536 | PA      | $555.61       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#CA4142                                                                    | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286048 | PA      | $255883.97    | 0.01%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                  | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6857 | PA      | $6642.13      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.242% 9/1/41#1B8659                                                                     | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8653 | PA      | $8681.86      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.5% 05/02/2043                                                                  | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $853597.63    | 0.03%             | 2043-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2052#BV7554                                                                    | CUSIP: 3140MMMC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2999999 | PA      | $2818147.43   | 0.11%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.75% 04/15/2027                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1871000 | PA      | $1762279.39   | 0.07%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2052#MA4783                                                                    | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1549998 | PA      | $1455557.04   | 0.06%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479494                                                                          | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132474 | PA      | $127046.36    | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/40 #004853                                                                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438241 | PA      | $422521.54    | 0.02%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/38 #889733                                                                           | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8930 | PA      | $9340.83      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/27 #393574                                                                           | CUSIP: 31378BFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       250 | PA      | $255.68       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                      | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    766000 | PA      | $736948.94    | 0.03%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.279% 03/15/2032 144A                                                             | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1622816.54   | 0.07%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                  | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625443 | PA      | $617089.16    | 0.03%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1014000 | PA      | $999028.93    | 0.04%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 3.85% 06/22/2040                                                                      | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    668000 | PA      | $447892.65    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AK9784                                                                           | CUSIP: 3138EE2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152706 | PA      | $142933.40    | 0.01%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2052#RA6608                                                                    | CUSIP: 3133KNKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2999405 | PA      | $2636486.83   | 0.11%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2046#G60989                                                                    | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1496711 | PA      | $1347639.47   | 0.05%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                          | CORP ANDINA DE FOMENTO 2.375% 05/12/2023                                                          | CUSIP: 219868CC8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |   1810000 | PA      | $1789474.60   | 0.07%             | 2023-05-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 7/39 #AA9611                                                                           | CUSIP: 31416TVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1247 | PA      | $1207.32      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738240                                                                           | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4702 | PA      | $4722.86      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                         | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496755 | PA      | $490630.55    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $18185937.60  | 0.74%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.5% 04/19/2026                                                       | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1541000 | PA      | $1470640.99   | 0.06%             | 2026-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                  | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185541 | PA      | $168816.72    | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                 | FLATIRON CLO LT 3ML+111 07/19/2034 144A                                                           | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1392832 | PA      | $1358773.08   | 0.06%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #773499                                                                          | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15618 | PA      | $14984.63     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                  | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                            | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $238131.11    | 0.01%             | 2036-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#RA6823                                                                    | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1426135 | PA      | $1169626.89   | 0.05%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 11/01/2033#G16677                                                                  | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19445 | PA      | $18742.20     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                               | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    451000 | PA      | $315665.05    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241416 | PA      | $221516.00    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #464693                                                                           | CUSIP: 36208YGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1356 | PA      | $1362.83      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745236                                                                           | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55763 | PA      | $54890.97     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/28 #780717                                                                           | CUSIP: 36225AYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        83 | PA      | $85.23        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3713000 | PA      | $2364735.44   | 0.10%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 4/35 #637141                                                                           | CUSIP: 36291SZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3738 | PA      | $3935.68      | 0.00%             | 2035-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.431/VAR 01/23/2030                                                               | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1348000 | PA      | $1254588.52   | 0.05%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                  | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2899266 | PA      | $2488225.28   | 0.10%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #G06973                                                                           | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650685 | PA      | $629889.51    | 0.03%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032 144A                             | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2607292.24   | 0.11%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                  | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35166 | PA      | $31996.07     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/46#BC6150                                                                         | CUSIP: 3140F1ZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25014 | PA      | $24122.63     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                      | BETHP 2021 3ML+113 01/15/2035 144A                                                                | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1953217 | PA      | $1895517.02   | 0.08%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96783                                                                           | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18328 | PA      | $18181.93     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.737%/VAR 04/24/2024                                                              | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1534000 | PA      | $1525707.41   | 0.06%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 10/01/2033#BM5832                                                                    | CUSIP: 3140JAPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313669 | PA      | $297475.03    | 0.01%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                              | ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A                                                        | CUSIP: 04015GAP4<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |    665897 | PA      | $652342.00    | 0.03%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                    | BBIRD 2016-1A AA 2.487% 12/16/2041 144A                                                           | CUSIP: 09228YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    186317 | PA      | $169752.76    | 0.01%             | 2041-12-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/01/2053 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -37650000 | PA      | $-31587220.50 | -1.29%            | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BJ0673                                                                    | CUSIP: 3140H1XB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357700 | PA      | $339232.53    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX8858                                                                  | CUSIP: 3138YAZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26317 | PA      | $26047.75     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 8/42 #Q10323                                                                           | CUSIP: 3132HLLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11427 | PA      | $10699.62     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                  | WALT DISNEY CO 3.8% 03/22/2030                                                                    | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   7061000 | PA      | $6580997.39   | 0.27%             | 2030-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2282                                                                  | CUSIP: 36183XRB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7015 | PA      | $6389.90      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386779 | PA      | $336686.40    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    345000 | PA      | $330144.27    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 01/01/2053 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -52100000 | PA      | $-42524999.48 | -1.73%            | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/31 #545304                                                                          | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4651 | PA      | $4920.72      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 5.476% 01/25/2039                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    555000 | PA      | $505008.83    | 0.02%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/39 #698329                                                                           | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5206 | PA      | $5122.66      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 05/01/2037#C91938                                                                    | CUSIP: 3128P8EK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002929 | PA      | $973385.39    | 0.04%             | 2037-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                  | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4923 | PA      | $4758.47      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1234572 | PA      | $1043378.11   | 0.04%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 02/01/2038 #TBA                                                                      | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13400000 | PA      | $11951753.46  | 0.49%             | 2038-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                      | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1178383.68   | 0.05%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447073.31    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE4784                                                                  | CUSIP: 3140FQJ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88398 | PA      | $82139.92     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2043#AC9441                                                                    | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16117 | PA      | $15450.92     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033 144A                          | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2575206.00   | 0.11%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BK3836                                                                    | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53607 | PA      | $51395.69     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2041#AI7563                                                                  | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6083 | PA      | $6027.08      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    510000 | PA      | $430756.13    | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#Q33442                                                                  | CUSIP: 3132QPZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18811 | PA      | $17054.94     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                    | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    141000 | PA      | $141316.35    | 0.01%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                  | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237707 | PA      | $216058.21    | 0.01%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                  | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133060 | PA      | $131239.36    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                  | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53134 | PA      | $48389.74     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.869%/VAR 01/12/2029 144A                                                   | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1233000 | PA      | $988309.19    | 0.04%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS7010                                                                  | CUSIP: 3138WGYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278282 | PA      | $259452.50    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1139000 | PA      | $976543.29    | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.25% 6/36 #886983                                                                       | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2195 | PA      | $2214.31      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                  | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2498 | PA      | $2414.09      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511255                                                                           | CUSIP: 31383R5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $81.68        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.5% 07/01/2027                                                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    517000 | PA      | $490410.04    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                   | AFFILIATED MANAGERS GROUP INC 3.5% 08/01/2025                                                     | CUSIP: 008252AN8<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1629770.18   | 0.07%             | 2025-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                  | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17957 | PA      | $16338.71     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.1% 03/15/2052                                                                       | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    404000 | PA      | $322821.78    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#CB2420                                                                    | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394435 | PA      | $349822.23    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 11/35 #600498                                                                          | CUSIP: 36200GDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2817 | PA      | $2972.47      | 0.00%             | 2035-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2052#SD8257                                                                  | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3799999 | PA      | $3664039.66   | 0.15%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #781324                                                                           | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1094 | PA      | $1137.53      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/27 #250990                                                                           | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82 | PA      | $84.67        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F012411<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -13600000 | PA      | $-11805543.92 | -0.48%            | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO0693                                                                           | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22747 | PA      | $21249.62     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                  | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10869 | PA      | $10508.34     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 1/41 #737901                                                                           | CUSIP: 3620ARX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42542 | PA      | $40020.26     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2049#RA1544                                                                  | CUSIP: 3133KGWD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259380 | PA      | $239336.59    | 0.01%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                  | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762231 | PA      | $710417.41    | 0.03%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 1ML+145 10/15/2036 144A                                                             | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1436280 | PA      | $1390620.96   | 0.06%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#CB2432                                                                    | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914107 | PA      | $804145.73    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                  | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8045 | PA      | $7319.94      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#CA5122                                                                    | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702380 | PA      | $627655.94    | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 05/01/2045#AX9659                                                                  | CUSIP: 3138YBWV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3323 | PA      | $3205.34      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 4.85% 11/15/2035                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    661000 | PA      | $611500.18    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                                              | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                                     | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079000 | PA      | $1066380.99   | 0.04%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.125% 12/15/2026                                                           | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4319000 | PA      | $4173175.14   | 0.17%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A                                  | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1789733 | PA      | $1671913.98   | 0.07%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.6% 02/15/2041                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   4059000 | PA      | $3836847.28   | 0.16%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2042#796180                                                                    | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5772 | PA      | $5533.13      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024                                                   | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $408903.19    | 0.02%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 4% 10/01/2023                                                                        | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    863000 | PA      | $856048.59    | 0.03%             | 2023-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                       | VOYA CLO 2020-2 LTD/LLC 3ML+116 07/19/2034 144A                                                   | CUSIP: 92918HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1277198 | PA      | $1249813.60   | 0.05%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783261                                                                           | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227783 | PA      | $224233.69    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #567088                                                                           | CUSIP: 36213W6Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1163 | PA      | $1218.40      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #471043                                                                           | CUSIP: 36209GHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       240 | PA      | $246.75       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.4% 01/15/2028                                                                | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    489000 | PA      | $450281.07    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 3.05% 06/05/2023                                                                    | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2954000 | PA      | $2920568.70   | 0.12%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17463 | PA      | $17603.80     | 0.00%             | 2041-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 12/39 #728451                                                                          | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16102 | PA      | $16157.62     | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 2/27 #444741                                                                           | CUSIP: 36207XBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       343 | PA      | $351.99       | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2042#794559                                                                    | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3246 | PA      | $3113.60      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                  | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30193 | PA      | $27471.75     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                  | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12213 | PA      | $11119.88     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                  | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30167 | PA      | $29193.96     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                   | RETAIL OPPTY INVTS PRTNRSHP LP 5% 12/15/2023                                                      | CUSIP: 76132FAA5<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    226000 | PA      | $223455.37    | 0.01%             | 2023-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 3/26 #303780                                                                           | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $167.63       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20409 | PA      | $17337.58     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 01/43 #Q16224                                                                           | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7591 | PA      | $7116.88      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#G67713                                                                    | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976271 | PA      | $939622.87    | 0.04%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B 1ML+125 10/15/2036 144A                                                            | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241085 | PA      | $223258.81    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                    | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    904000 | PA      | $823370.11    | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | IL ST TAXM 7.35% 7/01/35                                                                          | CUSIP: 452152GS4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1578571 | PA      | $1660695.98   | 0.07%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                              | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    793816 | PA      | $695769.31    | 0.03%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/27 #401788                                                                          | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $131.92       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 8.50% 6/25 #307158                                                                           | CUSIP: 31373YE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $95.99        | 0.00%             | 2025-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.25% 01/15/2031                                                               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    313000 | PA      | $271422.98    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36300000 | PA      | $25242679.51  | 1.03%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                  | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922893 | PA      | $910638.56    | 0.04%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/29 #252874                                                                          | CUSIP: 31371H2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $254.90       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 5/27 #447696                                                                           | CUSIP: 36208DKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       330 | PA      | $337.68       | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/43#AL7261                                                                    | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110319 | PA      | $103231.31    | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    720000 | PA      | $666684.00    | 0.03%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2729000 | PA      | $2598354.06   | 0.11%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    521000 | PA      | $432364.71    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/41 #005055                                                                        | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18967 | PA      | $18773.18     | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2034#J40154                                                                    | CUSIP: 31307YE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59710 | PA      | $56639.35     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 IMC B 1ML+130 04/15/2034                                                            | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007281 | PA      | $971886.25    | 0.04%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                              | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                           | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1499124.69   | 0.06%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                             | VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A                                                       | CUSIP: 92917RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2009654 | PA      | $1974286.10   | 0.08%             | 2032-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779843                                                                          | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20507 | PA      | $19673.22     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96766                                                                           | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10024 | PA      | $9943.60      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                         | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2623401.37   | 0.11%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.125% 07/27/2026                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6737000 | PA      | $6284083.89   | 0.26%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.627% 6/1/41#1B8372                                                                     | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22681 | PA      | $22920.91     | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                    | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                      | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    708550 | PA      | $557365.98    | 0.02%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    578000 | PA      | $488405.13    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    689000 | PA      | $735179.00    | 0.03%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2021-1                                                          | BARINGS CLO LTD 2021-1A A 3ML+102 04/25/2034 144A                                                 | CUSIP: 06762EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2282638 | PA      | $2217591.95   | 0.09%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                             | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    647000 | PA      | $505371.70    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #773473                                                                           | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15576 | PA      | $14952.55     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2052#                                                                        | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945267 | PA      | $802390.64    | 0.03%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8987                                                                    | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11080 | PA      | $10227.59     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX9232                                                                  | CUSIP: 3138YBHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24659 | PA      | $24406.26     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC                                     | SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A 3ML+98 04/19/2034 144A                       | CUSIP: 87167WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2313924 | PA      | $2244994.52   | 0.09%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2042#AL2607                                                                    | CUSIP: 3138EJ3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2727 | PA      | $2636.52      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97152                                                                           | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17445 | PA      | $17306.42     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                  | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12973 | PA      | $11791.85     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5795 | PA      | $5418.50      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 08/01/2037#MA3089                                                                  | CUSIP: 31418CNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30075 | PA      | $28575.88     | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/28 #780732                                                                           | CUSIP: 36225AY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       349 | PA      | $358.07       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/01/2053 #TBA                                                                        | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21250000 | PA      | $17847203.50  | 0.73%             | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #343081                                                                           | CUSIP: 31375SCS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       469 | PA      | $479.66       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                  | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14908 | PA      | $14408.79     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A                                           | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405819 | PA      | $383923.78    | 0.02%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2044#MA2074                                                                    | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3620 | PA      | $3514.98      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                       | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                  | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1401426 | PA      | $1060634.74   | 0.04%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                   | DISCOVER BANK 3.35% 02/06/2023                                                                    | CUSIP: 25466AAK7<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    983000 | PA      | $981181.66    | 0.04%             | 2023-02-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.8% 02/14/2029                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    311000 | PA      | $298413.18    | 0.01%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A                           | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $361577.60    | 0.01%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#741529                                                                  | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9309 | PA      | $9193.25      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 1/26 #420660                                                                           | CUSIP: 36206TJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27 | PA      | $27.94        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                | SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A                                                       | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2727000 | PA      | $2664412.62   | 0.11%             | 2035-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                  | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43085 | PA      | $39000.68     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/25 #325499                                                                           | CUSIP: 31374VRU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $113.09       | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024                                                    | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1479604.25   | 0.06%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/24 #313987                                                                          | CUSIP: 31374GXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       239 | PA      | $240.38       | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 12/15/2041#792596                                                                    | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1247 | PA      | $1196.22      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/26 #345142                                                                           | CUSIP: 31375ULX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       426 | PA      | $433.67       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/49#BR8986                                                                         | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5360 | PA      | $4947.31      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/32 #572976                                                                           | CUSIP: 36200UQ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8650 | PA      | $9071.90      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2045#AZ4601                                                                  | CUSIP: 3138YWDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2150 | PA      | $2072.96      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                  | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                     | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341000 | PA      | $1259898.73   | 0.05%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.75% 03/24/2025                                                                      | CUSIP: 615369AS4<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1557000 | PA      | $1513820.61   | 0.06%             | 2025-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/48#ZA5379                                                                         | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535683 | PA      | $513088.09    | 0.02%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                    | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1245049.72   | 0.05%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/25 #303347                                                                           | CUSIP: 31373T5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.35        | 0.00%             | 2025-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2277                                                                  | CUSIP: 36183XQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3379 | PA      | $3077.70      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1708000 | PA      | $1346236.45   | 0.05%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $974639.11    | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/41 #737995                                                                           | CUSIP: 3620AR3C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79312 | PA      | $74524.84     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.05% 7/34 #801635                                                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1837.44      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                           | ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A                                                     | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2604698 | PA      | $2541825.80   | 0.10%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                           | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570651 | PA      | $2386928.63   | 0.10%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 1/41 #A96413                                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353255 | PA      | $342318.31    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #569233                                                                           | CUSIP: 36200QLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $37.34        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                  | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123765 | PA      | $101208.60    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/29 #510989                                                                           | CUSIP: 36211EUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $21.06        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                                 | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    485000 | PA      | $439677.36    | 0.02%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                  | BX TR 2018-EXCL 1ML+262.5 7/19 144A                                                               | CUSIP: 12433WAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455393 | PA      | $406070.16    | 0.02%             | 2037-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL2575                                                                    | CUSIP: 36183X2G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6249 | PA      | $5691.62      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 03/01/2053 #TBA                                                                        | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2350000 | PA      | $1975251.14   | 0.08%             | 2053-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LLC                                                              | ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A                                                    | CUSIP: 04018AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2545000 | PA      | $2442589.20   | 0.10%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2033#                                                                          | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237188 | PA      | $225238.97    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/01/2053 #TBA                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -14325000 | PA      | $-12758940.86 | -0.52%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024                                                          | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6295000 | PA      | $6235574.51   | 0.25%             | 2024-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 11/42 #AQ0170                                                                          | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36990 | PA      | $34560.64     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                         | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $1963092.50   | 0.08%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.375% 01/31/2044                                                                | CUSIP: 02209SAR4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $907841.56    | 0.04%             | 2044-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#BO8254                                                                    | CUSIP: 3140K4E48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9073 | PA      | $8081.79      | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    544000 | PA      | $523007.34    | 0.02%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 4% 02/01/2025                                                                        | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1644000 | PA      | $1601952.22   | 0.07%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542489 | PA      | $508625.90    | 0.02%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2047#AL9846                                                                  | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227937 | PA      | $225747.59    | 0.01%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 10/15/2041#775540                                                                    | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5262 | PA      | $5045.03      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                   | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 3ML+113 10/25/2034 144A                             | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1198676 | PA      | $1163544.01   | 0.05%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                   | DISCOVER BANK 4.682%/VAR 08/09/2028                                                               | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    847000 | PA      | $812933.63    | 0.03%             | 2028-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6% 11/35 #AD0687                                                                             | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31373 | PA      | $32493.46     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #582976                                                                           | CUSIP: 36201GT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5044 | PA      | $5257.70      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.88% 1/35 #848084                                                                       | CUSIP: 3128JR6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1819 | PA      | $1840.67      | 0.00%             | 2035-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                                            | SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A                                               | CUSIP: 87166RDE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    256728 | PA      | $251341.08    | 0.01%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 08/15/2043#AD5682                                                                    | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3051 | PA      | $2930.67      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/26 #366201                                                                           | CUSIP: 31376UX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1609 | PA      | $1645.23      | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 5/32 #582134                                                                           | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       358 | PA      | $375.91       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050                                                     | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   2883000 | PA      | $1982686.24   | 0.08%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#CB2842                                                                    | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5579492 | PA      | $4575951.89   | 0.19%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/28 #313983                                                                           | CUSIP: 31374GXL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $140.62       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4386000 | PA      | $4111461.09   | 0.17%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2049#SD0114                                                                  | CUSIP: 3132DMDT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362257 | PA      | $1263801.97   | 0.05%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | IL ST 4.95% 06/01/23                                                                              | CUSIP: 452151LE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    414545 | PA      | $414761.65    | 0.02%             | 2023-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.224% 4/41#1B8179                                                                       | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2164 | PA      | $2181.03      | 0.00%             | 2041-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2044#V80950                                                                  | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15513 | PA      | $14988.98     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                 | MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A                                        | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1390072 | PA      | $1355163.12   | 0.06%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.5% 01/31/2024                                                                         | CUSIP: 9128285Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23709700 | PA      | $23149373.16  | 0.94%             | 2024-01-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                                           | COMM 14-CCRE18 MTG TR 3.828% 07/15/2047                                                           | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387699 | PA      | $376209.07    | 0.02%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                             | MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A                                                       | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5340000 | PA      | $5188578.96   | 0.21%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #564296                                                                           | CUSIP: 36213T3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       236 | PA      | $245.62       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BD0997                                                                  | CUSIP: 3140F8DB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173942 | PA      | $162172.52    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/48#BK4838                                                                         | CUSIP: 3140HJLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4514 | PA      | $4327.87      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                   | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    492137 | PA      | $413414.87    | 0.02%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                    | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244600 | PA      | $230812.91    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/32#MA3218                                                                         | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244435 | PA      | $232121.05    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #768137                                                                           | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19174 | PA      | $18398.85     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/51#QC4163                                                                         | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71286 | PA      | $58620.58     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                  | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7585 | PA      | $7097.63      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2356000 | PA      | $2101196.86   | 0.09%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                     | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $552444.00    | 0.02%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/32 #539799                                                                           | CUSIP: 36212PUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6950 | PA      | $7279.11      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #A97945                                                                           | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125498 | PA      | $124504.01    | 0.01%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                  | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13803 | PA      | $13341.02     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2047#784303                                                                      | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213260 | PA      | $205008.96    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BK4845                                                                    | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31485 | PA      | $29859.73     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #719262                                                                           | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30097 | PA      | $30205.74     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #779846                                                                          | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11746 | PA      | $11274.65     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356413 | PA      | $311057.27    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4584000 | PA      | $3522848.69   | 0.14%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2206000 | PA      | $2053573.76   | 0.08%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.93% 05/01/2060                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    908000 | PA      | $827137.35    | 0.03%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28370                                                                    | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24748 | PA      | $23888.74     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                            | WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067                                                    | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    437000 | PA      | $365567.98    | 0.01%             | 2067-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   4043000 | PA      | $3817021.16   | 0.16%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 2.25% 01/15/2023                                                                   | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    407000 | PA      | $406612.88    | 0.02%             | 2023-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                                                        | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2292000 | PA      | $2273412.18   | 0.09%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 5.017% 06/26/2024 144A                                                        | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1330000 | PA      | $1279041.90   | 0.05%             | 2024-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 6/40 #743475                                                                           | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10165 | PA      | $10201.53     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                            | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2313000 | PA      | $2123653.61   | 0.09%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 12/40 #G06185                                                                          | CUSIP: 3128M8F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32399 | PA      | $32131.22     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #507037                                                                           | CUSIP: 31383MHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       383 | PA      | $400.72       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 3.95% 11/06/2024                                                           | CUSIP: 254709AK4<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    873000 | PA      | $849733.13    | 0.03%             | 2024-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    673573 | PA      | $647381.31    | 0.03%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/50#FM3269                                                                         | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190137 | PA      | $169908.62    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 01/01/2038 #TBA                                                                      | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -14400000 | PA      | $-12826801.44 | -0.52%            | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.375% 10/15/2028                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1793847.15   | 0.07%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 5.75% 08/15/2042                                                                       | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   2232000 | PA      | $2006236.93   | 0.08%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/42#G60517                                                                       | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452573 | PA      | $448988.26    | 0.02%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13148                                                                      | CUSIP: 3132HPP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21346 | PA      | $19332.86     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 09/01/2031#                                                                        | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2276 | PA      | $2422.08      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6089 | PA      | $6387.79      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/25 #331012                                                                          | CUSIP: 31375CVD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.01        | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                            | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    747000 | PA      | $681123.10    | 0.03%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 04/01/2027#                                                                          | CUSIP: 3128FMF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $227.40       | 0.00%             | 2027-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888544                                                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45559 | PA      | $47685.35     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                  | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242482 | PA      | $238864.20    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                    | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    245000 | PA      | $200985.53    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 1/24 #368294                                                                           | CUSIP: 36204FC77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $65.62        | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                        | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1592556.50   | 0.06%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96695                                                                           | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12724 | PA      | $12617.11     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 05/01/2044#AV8078                                                                  | CUSIP: 3138XK6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3605 | PA      | $3594.28      | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6241                                                                    | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3079411 | PA      | $2527466.17   | 0.10%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/40 #A91937                                                                           | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75813 | PA      | $76785.37     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                      | HASBRO INC 3% 11/19/2024                                                                          | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1348000 | PA      | $1295114.56   | 0.05%             | 2024-11-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4751000 | PA      | $4271028.04   | 0.17%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                       | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2199143 | PA      | $2129461.26   | 0.09%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1073000 | PA      | $818173.68    | 0.03%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642000 | PA      | $603962.33    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                                 | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396287 | PA      | $374917.94    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 05/01/2044#AS9099                                                                    | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12315 | PA      | $12400.37     | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 07/01/2041#AI6050                                                                   | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8017 | PA      | $8110.87      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/01/2050#RA2677                                                                    | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546430 | PA      | $451392.66    | 0.02%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                  | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3642 | PA      | $3532.36      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.50% 5/25 #AB1004                                                                      | CUSIP: 31416WDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7462 | PA      | $7403.22      | 0.00%             | 2025-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 2.636%/VAR 03/03/2026                                                  | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1400286.46   | 0.06%             | 2026-03-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                  | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919518 | PA      | $786136.63    | 0.03%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 3/40 #AD2341                                                                           | CUSIP: 31418PS71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1231 | PA      | $1219.84      | 0.00%             | 2040-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 06/20/2045#MA2893                                                                    | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70829 | PA      | $68686.26     | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2052#SD1733                                                                    | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99696 | PA      | $99669.13     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                         | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                          | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |   2368000 | PA      | $2462254.92   | 0.10%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9282                                                                  | CUSIP: 36184HJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11939 | PA      | $10875.05     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 4.78% 03/25/2038                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1667009.37   | 0.07%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                          | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                      | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3419000 | PA      | $2866017.47   | 0.12%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                  | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583044 | PA      | $545555.51    | 0.02%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                  | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180829 | PA      | $168749.67    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                  | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7443 | PA      | $6964.57      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 09/01/2041#AI9813                                                                   | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5748 | PA      | $5805.42      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1554000 | PA      | $1359446.92   | 0.06%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.3% 03/25/2028                                                                       | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3147000 | PA      | $2725838.53   | 0.11%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                 | ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A                                              | CUSIP: 04018BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1931133 | PA      | $1887234.48   | 0.08%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2609000 | PA      | $2280993.60   | 0.09%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.8% 04/01/2027                                                                       | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1797000 | PA      | $1635261.03   | 0.07%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2049#CA4628                                                                    | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406172 | PA      | $1345322.20   | 0.05%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 01/01/2053 #TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7350000 | PA      | $6457089.66   | 0.26%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766751                                                                           | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172102 | PA      | $161411.32    | 0.01%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395340 | PA      | $356581.97    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                      | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1307000 | PA      | $1262495.84   | 0.05%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/25 #318376                                                                           | CUSIP: 31374MT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       228 | PA      | $231.65       | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #710924                                                                          | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16575 | PA      | $16624.93     | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/48#BK2485                                                                         | CUSIP: 3140HFXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10568 | PA      | $10131.82     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.125% 09/24/2025 144A                                                               | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1614000 | PA      | $1569332.03   | 0.06%             | 2025-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/48#Q55724                                                                       | CUSIP: 3132XYLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51975 | PA      | $51117.42     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30831 | PA      | $29788.80     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.3% 11/20/2026                                                                     | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    532000 | PA      | $514624.86    | 0.02%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.2% 08/26/2024                                                       | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6127000 | PA      | $6032209.86   | 0.25%             | 2024-08-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL                                                                      | CHICAGO ILL TAXABLE PROJ C1                                                                       | CUSIP: 167486MM8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    900000 | PA      | $976715.64    | 0.04%             | 2035-01-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025                                                    | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    821000 | PA      | $797733.94    | 0.03%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    989000 | PA      | $831912.69    | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#RA2457                                                                    | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359206 | PA      | $320991.26    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2050#SD7518                                                                    | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1265747 | PA      | $1132669.84   | 0.05%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 05/15/2042#766754                                                                  | CUSIP: 36176HTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50863 | PA      | $47633.53     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 9/35 #550659                                                                           | CUSIP: 36213CWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8694 | PA      | $9130.49      | 0.00%             | 2035-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                       | HEALTHPEAK PROPERTIES 3.25% 07/15/2026                                                            | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    176000 | PA      | $166128.59    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027 144A                                                    | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2125394.77   | 0.09%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                      | TOLL BROS FIN CORP 4.875% 03/15/2027                                                              | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1083737.03   | 0.04%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                  | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10779 | PA      | $9755.52      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25308 | PA      | $23649.03     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13856800 | PA      | $8776334.26   | 0.36%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AH7281                                                                  | CUSIP: 36182QCS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3610 | PA      | $3288.01      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                            | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1748000 | PA      | $1539897.86   | 0.06%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A                                          | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2437552 | PA      | $2339714.49   | 0.10%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1629000 | PA      | $1508368.49   | 0.06%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7131 | PA      | $7074.51      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.75% 03/31/2026                                                                        | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52072200 | PA      | $46671743.19  | 1.90%             | 2026-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A                                                       | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699023 | PA      | $655909.36    | 0.03%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/46#BC1443                                                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264276 | PA      | $255440.83    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.125% 01/23/2023                                                                  | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7975000 | PA      | $7967679.51   | 0.32%             | 2023-01-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#Q55992                                                                    | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367375 | PA      | $352550.64    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.344% 7/35 #834917                                                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2028 | PA      | $2061.58      | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2032#MA3187                                                                  | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45313 | PA      | $42291.65     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.875% 03/25/2031                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3303000 | PA      | $2738606.68   | 0.11%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    729000 | PA      | $748941.11    | 0.03%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#CB5139                                                                  | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2580285 | PA      | $2594874.93   | 0.11%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2116000 | PA      | $1984144.17   | 0.08%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #729562                                                                           | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16610 | PA      | $16676.00     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 3.95% 06/01/2025                                                          | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    266000 | PA      | $251784.96    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1999-54 PH 6.5% 11/29                                                                         | CUSIP: 31359XBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7753 | PA      | $7780.39      | 0.00%             | 2029-11-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                  | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12980 | PA      | $12545.60     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.875% 12/01/2024                                                                         | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    839000 | PA      | $832139.83    | 0.03%             | 2024-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5.00% 9/25 #AE0552                                                                      | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6703 | PA      | $6670.54      | 0.00%             | 2025-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #711189                                                                           | CUSIP: 36297GC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16273 | PA      | $16016.46     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                  | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186913 | PA      | $1011406.66   | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 3/41 #A97661                                                                           | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82206 | PA      | $81555.06     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 1/41 #004922                                                                        | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221812 | PA      | $213845.61    | 0.01%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2044#AX3195                                                                  | CUSIP: 3138Y4RR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2179 | PA      | $2101.74      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2052#SD1862                                                                    | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942886 | PA      | $946165.19    | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 3.625% 04/15/2025                                                                    | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    350000 | PA      | $338640.41    | 0.01%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 07/15/2040#783030                                                                  | CUSIP: 36241LLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17743 | PA      | $17051.90     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #567100                                                                           | CUSIP: 36213W7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2512 | PA      | $2588.59      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                    | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    739671 | PA      | $605790.40    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5817000 | PA      | $5267464.35   | 0.21%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 08/15/2032                                                                        | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36698000 | PA      | $33418116.25  | 1.36%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#BA3565                                                                    | CUSIP: 3140E76B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69068 | PA      | $66500.15     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                  | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17051 | PA      | $16836.49     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/38 #909209                                                                           | CUSIP: 31411JDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34559 | PA      | $34236.32     | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 11/40 #737674                                                                          | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12317 | PA      | $12350.45     | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772063                                                                           | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20126 | PA      | $19310.53     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2052#SD8224                                                                  | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7350060 | PA      | $6239105.39   | 0.25%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1281000 | PA      | $1202703.31   | 0.05%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 TR                                                                 | AASET 2018-1A A 3.844% 1/38 144A                                                                  | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    789973 | PA      | $478657.35    | 0.02%             | 2038-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/27 #353881                                                                          | CUSIP: 36203NCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       238 | PA      | $245.81       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.95% 05/15/2050                                                    | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1007000 | PA      | $765715.38    | 0.03%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.6% 02/15/2033 144A                                                                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4340000 | PA      | $3257591.80   | 0.13%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AB3872                                                                          | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153841 | PA      | $148839.65    | 0.01%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2138                                                                           | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224557 | PA      | $210304.88    | 0.01%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    231000 | PA      | $178176.83    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG3507                                                                      | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198690 | PA      | $190319.37    | 0.01%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/26 #313264                                                                           | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        88 | PA      | $89.63        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP                            | COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A                   | CUSIP: 19737TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2607000 | PA      | $2504018.29   | 0.10%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    920000 | PA      | $853001.78    | 0.03%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/26 #323242                                                                          | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $52.52        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                  | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53913 | PA      | $48952.22     | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                  | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319605 | PA      | $1140148.62   | 0.05%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                  | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22480 | PA      | $20327.61     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745138                                                                           | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23079 | PA      | $22717.48     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE                                                        | CUSIP: 452152FA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2910000 | PA      | $2964354.14   | 0.12%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 2/36 #880258                                                                           | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1654 | PA      | $1754.64      | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                          | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    315410 | PA      | $100940.57    | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.638% 03/15/2025 144A                                                             | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    694000 | PA      | $659967.88    | 0.03%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L      | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2400254 | PA      | $1971584.16   | 0.08%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY0356                                                                  | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61291 | PA      | $59108.15     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552552                                                                          | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35203 | PA      | $33771.97     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC6168                                                                  | CUSIP: 3140F12A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96386 | PA      | $89803.67     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 10/15/2041#757458                                                                  | CUSIP: 36230SJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90950 | PA      | $87241.63     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.83% 10/33 #879911                                                                      | CUSIP: 31409VR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18703 | PA      | $18912.37     | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2040#V81886                                                                  | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39953 | PA      | $37358.82     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                  | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177331 | PA      | $163402.78    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                      | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11610 | PA      | $10716.80     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                   | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   3287000 | PA      | $3249521.13   | 0.13%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 11/30/2029                                                                       | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 123000000 | PA      | $122173593.75 | 4.98%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #733234                                                                           | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3943 | PA      | $3880.60      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2042#AK2717                                                                    | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8122 | PA      | $7851.16      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BJ8569                                                                    | CUSIP: 3140HAQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91886 | PA      | $87141.85     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#Q55660                                                                  | CUSIP: 3132XYJE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123293 | PA      | $121259.00    | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2034#FM0046                                                                    | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746660 | PA      | $706478.68    | 0.03%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL PARK CLO LTD 2016                                                       | BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A                                                  | CUSIP: 11014PAJ4<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |   1909991 | PA      | $1883426.82   | 0.08%             | 2029-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.375% 04/15/2040                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    404000 | PA      | $344773.43    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    521000 | PA      | $509848.38    | 0.02%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7590                                                                    | CUSIP: 36186QNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7951 | PA      | $7237.22      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL C 1ML+130 10/15/2036 144A                                                        | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014182 | PA      | $988643.63    | 0.04%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#FS0605                                                                  | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2165394 | PA      | $1846555.43   | 0.08%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/46#MA4126                                                                           | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395758 | PA      | $358363.89    | 0.01%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                       | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2440133.63   | 0.10%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    512000 | PA      | $426227.33    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5714 | PA      | $5786.80      | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 3.125% 09/01/2026                                                            | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   1874000 | PA      | $1701755.43   | 0.07%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                  | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753882 | PA      | $642407.00    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032 144A                                                    | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   1275000 | PA      | $1100265.74   | 0.04%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2049#QA4396                                                                  | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16252 | PA      | $13952.65     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                    | CEDF 2016-6A ARR 3ML+105 04/20/2034 144A                                                          | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1887884 | PA      | $1826023.70   | 0.07%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20923 | PA      | $20757.06     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                         | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349000 | PA      | $1267811.92   | 0.05%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG7744                                                                      | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169838 | PA      | $162683.39    | 0.01%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#CB5128                                                                    | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1643446 | PA      | $1646594.66   | 0.07%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                     | MADISON PK FDG L LTD / MADISON PK FDG L LLC 3ML+114 04/19/2034 144A                               | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2186940 | PA      | $2139210.03   | 0.09%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                  | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9641 | PA      | $8771.83      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2045#AY4820                                                                  | CUSIP: 3138YJLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28583 | PA      | $28281.74     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738885                                                                          | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67467 | PA      | $64753.16     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $179.59       | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #Q03090                                                                           | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59817 | PA      | $59343.05     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                  | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7845 | PA      | $7582.06      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1441420 | PA      | $1183335.19   | 0.05%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20920 | PA      | $20219.98     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $188.13       | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                       | MADISON PARK FUNDING 2015-19A A1R2 3ML+92 01/22/2028 144A                                         | CUSIP: 55819QAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1319772 | PA      | $1305152.77   | 0.05%             | 2028-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #250329                                                                           | CUSIP: 31371FA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.72        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                               | SITE CENTERS CORP 4.25% 02/01/2026                                                                | CUSIP: 23317HAE2<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    906000 | PA      | $853313.36    | 0.03%             | 2026-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25265                                                                  | CUSIP: 3132M5QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57765 | PA      | $57262.93     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                  | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90174 | PA      | $88911.68     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#QE0768                                                                  | CUSIP: 3133B9Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18274993 | PA      | $16631528.59  | 0.68%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARK PL SECS INC                                                                | PPSI 2005-WCH1 M4 1ML+83 1/36                                                                     | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49210 | PA      | $48094.70     | 0.00%             | 2036-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#J38057                                                                    | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97725 | PA      | $92882.52     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #509683                                                                           | CUSIP: 31383QFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $70.40        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/47#BM1277                                                                         | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272869 | PA      | $262467.85    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2048#Q54192                                                                    | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16844 | PA      | $16169.89     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 7/25 #250328                                                                           | CUSIP: 31371FA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.20         | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                  | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214078 | PA      | $212091.91    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.75% 01/31/2029                                                                        | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24900000 | PA      | $21871148.56  | 0.89%             | 2029-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 10/01/2027#                                                                        | CUSIP: 31283G3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $32.98        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                  | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10114 | PA      | $9219.74      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/27 #391266                                                                           | CUSIP: 31377YTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2582 | PA      | $2678.96      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/32 #569702                                                                           | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       334 | PA      | $348.51       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169529 | PA      | $162440.48    | 0.01%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 10/28 #490635                                                                          | CUSIP: 36210FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       138 | PA      | $142.29       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91003 | PA      | $87818.33     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 2/28 #436199                                                                           | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7911 | PA      | $8115.27      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/28 #251570                                                                           | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       276 | PA      | $288.02       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #C03856                                                                           | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366967 | PA      | $355367.21    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.75% 02/15/2051 144A                                                                | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1135673.18   | 0.05%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 12/01/2040#MA4204                                                                    | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18660 | PA      | $15852.27     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 03/20/2046#MA3520                                                                      | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68936 | PA      | $62573.59     | 0.00%             | 2046-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026                                                        | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    510000 | PA      | $447128.54    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2049#QA4483                                                                    | CUSIP: 31339U6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8819 | PA      | $7856.13      | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2033#J38387                                                                    | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40145 | PA      | $37969.73     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058                                                   | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1764000 | PA      | $1548427.84   | 0.06%             | 2058-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP 7.375% 11/15/2031                                                                | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1052000 | PA      | $1184815.00   | 0.05%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745068                                                                           | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29581 | PA      | $29115.58     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/35#BO9279                                                                       | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77174 | PA      | $71233.28     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545759                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15222 | PA      | $15901.57     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.30% 8/36 #888199                                                                       | CUSIP: 31410FX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21655 | PA      | $22057.00     | 0.00%             | 2036-08-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.375% 05/15/2025                                                              | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    256000 | PA      | $248275.96    | 0.01%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060                                                    | CUSIP: 035240AU4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $984448.99    | 0.04%             | 2060-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 4/1/43 #AB8881                                                                       | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100822 | PA      | $91734.53     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 3.75% 05/15/2030                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    710000 | PA      | $625996.96    | 0.03%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#CB4893                                                                    | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99626 | PA      | $99567.70     | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 5/30 #479341                                                                           | CUSIP: 36209RP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       434 | PA      | $459.87       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                          | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    354000 | PA      | $323304.66    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4825 | PA      | $4904.23      | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                  | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35993 | PA      | $32577.29     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                  | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19989 | PA      | $19320.08     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2033#G18684                                                                    | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35199 | PA      | $33411.36     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2893000 | PA      | $2678920.84   | 0.11%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                    | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                              | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   2374000 | PA      | $2028230.72   | 0.08%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/41 #430354                                                                           | CUSIP: 36207FBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179821 | PA      | $172525.38    | 0.01%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.875% 09/10/2024                                                           | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  13419000 | PA      | $13135449.55  | 0.54%             | 2024-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2417000 | PA      | $1529356.75   | 0.06%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #737311                                                                           | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23409 | PA      | $23492.13     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00753                                                                           | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18526 | PA      | $18379.17     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/28 #506236                                                                           | CUSIP: 31383LLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4409 | PA      | $4527.64      | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #464695                                                                           | CUSIP: 36208YGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1536 | PA      | $1567.85      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 01/01/2053 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  80650000 | PA      | $65828046.22  | 2.68%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#MA3391                                                                    | CUSIP: 31418CXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6704 | PA      | $6357.45      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                       | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12887000 | PA      | $11930309.46  | 0.49%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                          | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1895246 | PA      | $1799060.56   | 0.07%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03358                                                                           | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30066 | PA      | $29121.88     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/41 #AL0913                                                                           | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152337 | PA      | $159422.87    | 0.01%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 7/27 #411814                                                                           | CUSIP: 36206HN79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1447 | PA      | $1480.92      | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #559037                                                                           | CUSIP: 36213NBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2234 | PA      | $2334.69      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6302                                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    929800 | PA      | $763145.41    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 3.45% 02/15/2023                                                    | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    521000 | PA      | $519874.66    | 0.02%             | 2023-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   1453000 | PA      | $1271208.79   | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/28 #251822                                                                           | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       418 | PA      | $436.00       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                   | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   1792000 | PA      | $1498121.57   | 0.06%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                  | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8063 | PA      | $7792.87      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BQ1010                                                                         | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67813 | PA      | $55742.76     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC C 1ML+160 04/15/34 144A                                                         | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665897 | PA      | $637184.79    | 0.03%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK4826                                                                           | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87648 | PA      | $82019.18     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                        | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                   | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1173072.02   | 0.05%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                       | HEALTHPEAK PROPERTIES 3.5% 07/15/2029                                                             | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    201000 | PA      | $178875.28    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AL2187                                                                    | CUSIP: 36183XNC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3094 | PA      | $2817.93      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2040#V81750                                                                  | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65789 | PA      | $61558.88     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                       | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1135071.88   | 0.05%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A                                  | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530325 | PA      | $498403.78    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 1/24 #382114                                                                           | CUSIP: 36204WN78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98 | PA      | $99.01        | 0.00%             | 2024-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 02/01/2041#                                                                          | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19980 | PA      | $16972.84     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                      | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   2842000 | PA      | $2684106.47   | 0.11%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                 | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    696000 | PA      | $614159.86    | 0.03%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1958000 | PA      | $1804165.36   | 0.07%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 02/01/2033#MA3283                                                                    | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739032 | PA      | $700876.94    | 0.03%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                          | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   2778000 | PA      | $2636488.68   | 0.11%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3953844 | PA      | $3790996.28   | 0.15%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                             | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                    | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1332119 | PA      | $1049462.50   | 0.04%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BD5294                                                                  | CUSIP: 3140FC3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210171 | PA      | $195686.96    | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223602 | PA      | $196407.08    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.8% 05/01/2025                                                                     | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1606000 | PA      | $1597579.81   | 0.07%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                  | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2638000.36   | 0.11%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/27 #251336                                                                          | CUSIP: 31371GEH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $237.57       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 2/1/43 #Q15635                                                                       | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12811 | PA      | $11667.22     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                  | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343016 | PA      | $320103.38    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01208                                                                           | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13002 | PA      | $12892.22     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0288                                                                    | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2386493 | PA      | $1957253.29   | 0.08%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #739706                                                                           | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16315 | PA      | $16375.90     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BM3877                                                                    | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109623 | PA      | $105101.53    | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2604449.38   | 0.11%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2048#Q59935                                                                    | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140423 | PA      | $135546.38    | 0.01%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #587033                                                                           | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1604 | PA      | $1676.58      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                          | BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A                                       | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2519162.88   | 0.10%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#G67716                                                                  | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807867 | PA      | $799842.50    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.25% 08/09/2042                                                                 | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1696000 | PA      | $1256888.08   | 0.05%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10262 | PA      | $9337.00      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #443873                                                                           | CUSIP: 36207WCJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       307 | PA      | $317.32       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35372                                                                             | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18004 | PA      | $16295.31     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/40 #004696                                                                        | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65912 | PA      | $65234.83     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #552505                                                                           | CUSIP: 36213EYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1361 | PA      | $1426.78      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34103                                                                  | CUSIP: 3132QQRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8977 | PA      | $8144.17      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685647 | PA      | $591225.21    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.705% 05/01/2040                                                                       | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    920000 | PA      | $877277.47    | 0.04%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                | MORGAN STANLEY CAP I TR 2018-BOP 1ML+125 06/15/2035 144A                                          | CUSIP: 61768FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059546 | PA      | $994580.73    | 0.04%             | 2033-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                     | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    463801 | PA      | $371519.25    | 0.02%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                           | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A                                     | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1717039 | PA      | $1667785.74   | 0.07%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2052#                                                                        | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654945 | PA      | $596376.05    | 0.02%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2043#AU8060                                                                  | CUSIP: 3138X75W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4217 | PA      | $4183.06      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW6964                                                                  | CUSIP: 3138XWW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34859 | PA      | $34524.01     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                              | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5684000 | PA      | $4700668.00   | 0.19%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                  | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33863 | PA      | $30645.68     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                  | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32646 | PA      | $29524.06     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#CA4860                                                                    | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713070 | PA      | $635202.73    | 0.03%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                              | PEACE PARK CLO LTD 3ML+113 10/20/2034 144A                                                        | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760982 | PA      | $740950.67    | 0.03%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026                                                        | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1587000 | PA      | $1581048.75   | 0.06%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #AE0746                                                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36622 | PA      | $38301.39     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                     | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    478000 | PA      | $463633.39    | 0.02%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15854 | PA      | $15323.25     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                    | MAGNETITE XXI LTD 2019-21A A 3ML+102 04/20/2034 144A                                              | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1823166 | PA      | $1776764.60   | 0.07%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                            | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    909000 | PA      | $929435.73    | 0.04%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/15/2032                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55800000 | PA      | $56942156.25  | 2.32%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/40 #AD0732                                                                           | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51490 | PA      | $53879.16     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                  | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7354 | PA      | $7113.77      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                | COMCAST CORP NEW 2.937% 11/01/2056                                                                | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1298693.15   | 0.05%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 5/42 #AO2123                                                                           | CUSIP: 3138LSLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17158 | PA      | $16117.95     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 11/15/2042#AB9201                                                                    | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3835 | PA      | $3677.63      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                         | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A                   | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    444749 | PA      | $433773.93    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/30 #527717                                                                           | CUSIP: 31384MG22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.66        | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 6.75% 09/15/2037 144A                                                       | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   1037000 | PA      | $1045283.83   | 0.04%             | 2037-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 4% 06/22/2050                                                                         | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1153000 | PA      | $710406.94    | 0.03%             | 2050-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2052#FS3083                                                                    | CUSIP: 3140XJM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2970060 | PA      | $2802088.75   | 0.11%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2048#BN2842                                                                  | CUSIP: 3140JKEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3679 | PA      | $3601.87      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                     | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34200000 | PA      | $30566250.00  | 1.25%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #319647                                                                           | CUSIP: 31374PBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       513 | PA      | $520.51       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                  | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123541 | PA      | $101025.34    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #457782                                                                           | CUSIP: 36208QRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        51 | PA      | $52.48        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                           | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    613000 | PA      | $562427.50    | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 10/45#MA3174                                                                         | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2605 | PA      | $2523.43      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                   | AIA GROUP LTD 3.2% 09/16/2040 144A                                                                | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   1070000 | PA      | $763695.89    | 0.03%             | 2040-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE5602                                                                  | CUSIP: 3140FRGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655769 | PA      | $611192.44    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 04/48#784805                                                                           | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481130 | PA      | $488329.61    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050                                                    | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1534000 | PA      | $1341694.83   | 0.05%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/47#BH4269                                                                         | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14174 | PA      | $13629.30     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#FM2286                                                                    | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549131 | PA      | $519579.71    | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1549000 | PA      | $1384900.95   | 0.06%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.0% 08/45#AS5634                                                                            | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110386 | PA      | $99676.80     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                         | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2947177 | PA      | $2551024.22   | 0.10%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#ZS8686                                                                    | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38750 | PA      | $36749.26     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 05/01/2027#                                                                          | CUSIP: 31283HA70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $73.49        | 0.00%             | 2027-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    629000 | PA      | $608215.29    | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 08/15/2051                                                         | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 108411200 | PA      | $70983926.58  | 2.90%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 6/41 #AE1246                                                                           | CUSIP: 31419BL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43830 | PA      | $42275.56     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                  | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634371 | PA      | $545325.64    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                     | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1706480.99   | 0.07%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #502726                                                                           | CUSIP: 31383GPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5819 | PA      | $6133.05      | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   2870000 | PA      | $2135472.15   | 0.09%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #Q00114                                                                           | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21412 | PA      | $21232.45     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2044#AW9240                                                                  | CUSIP: 3138XZHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26200 | PA      | $25932.13     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 5.576% 01/25/2049                                                                        | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    368000 | PA      | $328326.31    | 0.01%             | 2049-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                              | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2118748 | PA      | $1663281.11   | 0.07%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#FS3295                                                                    | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546573 | PA      | $544545.31    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 4.25% 02/01/2024                                                                   | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1761000 | PA      | $1730659.87   | 0.07%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8995                                                                    | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99426 | PA      | $91777.04     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.956/VAR 05/13/2031                                                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1324000 | PA      | $1090917.43   | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    782000 | PA      | $731064.22    | 0.03%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 3/28 #456712                                                                           | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2191 | PA      | $2272.62      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                  | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7770 | PA      | $7512.77      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                     | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1136000 | PA      | $1130506.03   | 0.05%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 08/01/2034#C91782                                                                  | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279871 | PA      | $268169.21    | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1751000 | PA      | $1801761.49   | 0.07%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C26                                                | WELLS FARGO COML MTG TR 2015-C26 A4 3.166% 02/15/2048                                             | CUSIP: 94989CAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026911 | PA      | $976678.72    | 0.04%             | 2048-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ4279                                                                    | CUSIP: 3140H5XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29976 | PA      | $28767.82     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A                                                       | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530641 | PA      | $507002.52    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                  | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7580 | PA      | $7092.65      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/40 #A92350                                                                           | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22938 | PA      | $23228.88     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2043#AD7475                                                                    | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6986 | PA      | $6715.51      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 1.65% 03/25/2026                                                                      | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1992000 | PA      | $1783280.95   | 0.07%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2041#738107                                                                    | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4470 | PA      | $4291.62      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                  | SEMT 2004-6 A3B 6ML+44 7/34                                                                       | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       475 | PA      | $419.30       | 0.00%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.228% 7/41#AI3469                                                                       | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11218 | PA      | $11387.83     | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                   | AIA GROUP LTD 3.375% 04/07/2030 144A                                                              | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   2257000 | PA      | $1983905.51   | 0.08%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.428% 03/15/2024 144A                                                             | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1267000 | PA      | $1229963.40   | 0.05%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    411000 | PA      | $446222.63    | 0.02%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658379 | PA      | $613212.76    | 0.03%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                  | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58819 | PA      | $53517.41     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                           | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |   1304000 | PA      | $1242404.88   | 0.05%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32194 | PA      | $30124.18     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                  | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28809 | PA      | $27887.22     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                     | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $983747.63    | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    793000 | PA      | $651955.07    | 0.03%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       108 | PA      | $111.31       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A                                                  | CUSIP: 162665AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538224 | PA      | $499510.51    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                  | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13187 | PA      | $12745.80     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2018                                                    | DRSLF 2020-78A A 3ML+118 04/17/2033 144A                                                          | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1318912 | PA      | $1290823.13   | 0.05%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 7.55% 03/15/2028                                                   | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   2334000 | PA      | $2288905.39   | 0.09%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2041#                                                                        | CUSIP: 3132GDVM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2791 | PA      | $2769.30      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.8% 06/09/2023                                                              | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2632000 | PA      | $2562910.00   | 0.10%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.5% 09/13/2025                                                                     | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1704368.48   | 0.07%             | 2025-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/28 #482687                                                                           | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       625 | PA      | $641.53       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8994                                                                    | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83954 | PA      | $77495.12     | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #778681                                                                          | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11190 | PA      | $10731.30     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2348                                                                    | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652953 | PA      | $536123.99    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53811 | PA      | $56280.61     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                  | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180272 | PA      | $177748.74    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #582173                                                                           | CUSIP: 36201FXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       103 | PA      | $107.74       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #734042                                                                          | CUSIP: 3620AMP30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32271 | PA      | $30959.18     | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 5/45#Q33470                                                                             | CUSIP: 3132QP2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10274 | PA      | $9315.25      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                       | CRPT 2021 1ML+220 07/15/2034 144A                                                                 | CUSIP: 12566BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25542 | PA      | $25307.39     | 0.00%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                  | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24167 | PA      | $23357.96     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | IPALCO ENTERPRISES INC 3.7% 09/01/2024                                                            | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    662000 | PA      | $641490.23    | 0.03%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#FM9865                                                                  | CUSIP: 3140XD6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3339278 | PA      | $2849680.82   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    405000 | PA      | $320856.94    | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.625% 01/15/2032 144A                         | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $259200.00    | 0.01%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #339193                                                                           | CUSIP: 31375MXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $443.67       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/29 #535033                                                                          | CUSIP: 31384VLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $155.18       | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE6917                                                                  | CUSIP: 3140FSVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33377 | PA      | $31076.64     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #552619                                                                           | CUSIP: 36213E4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174 | PA      | $181.68       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2040#                                                                          | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6507 | PA      | $6580.52      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                          | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    361000 | PA      | $340606.03    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 11/01/2029#                                                                        | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1173.19      | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.5% 10/01/2052#RA7615                                                                  | CUSIP: 3133KPN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    899301 | PA      | $904386.50    | 0.04%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                  | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11392 | PA      | $11007.14     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5574000 | PA      | $4372482.77   | 0.18%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/40 #A93459                                                                           | CUSIP: 312941ZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3538 | PA      | $3508.64      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.352%/VAR 04/24/2025                                                               | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1521000 | PA      | $1474880.60   | 0.06%             | 2025-04-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552550                                                                          | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58835 | PA      | $56440.27     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 5.584% 03/18/2024                                                              | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1916000 | PA      | $1890804.60   | 0.08%             | 2024-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.5% 04/04/2025 144A                                                     | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    646000 | PA      | $619303.94    | 0.03%             | 2025-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2175 | PA      | $2209.70      | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1801                                                                    | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1584047 | PA      | $1301611.76   | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 7/42 #Q09199                                                                           | CUSIP: 3132GURU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42912 | PA      | $40228.71     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #G06719                                                                           | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320597 | PA      | $318054.95    | 0.01%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.95% 02/14/2049                                                                 | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    407000 | PA      | $361917.04    | 0.01%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                  | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131344 | PA      | $122292.70    | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 05/31/2028                                                                        | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78257700 | PA      | $67754049.33  | 2.76%             | 2028-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 4.063% 11/01/2024                                                              | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5184388.26   | 0.21%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2042#Q10217                                                                    | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7202 | PA      | $6536.21      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                  | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9126 | PA      | $9002.38      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.0% 12/20/2042#AA5872                                                                    | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788972 | PA      | $713083.20    | 0.03%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #582105                                                                           | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       205 | PA      | $214.43       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2046#BD3322                                                                  | CUSIP: 3140FAVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77147 | PA      | $71854.19     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                  | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25629 | PA      | $24770.86     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#CA7323                                                                    | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228666 | PA      | $189538.27    | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/27 #451506                                                                          | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       492 | PA      | $506.88       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                  | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13310 | PA      | $12860.48     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552554                                                                          | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23768 | PA      | $22800.82     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 4.875% 02/15/2024                                                                     | CUSIP: 615369AC9<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    687000 | PA      | $684787.08    | 0.03%             | 2024-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024                              | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1839000 | PA      | $1741135.81   | 0.07%             | 2024-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.054% 03/15/2029 144A                                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    470000 | PA      | $406607.37    | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                  | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52972 | PA      | $52263.26     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/29 #505849                                                                           | CUSIP: 31383K5J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       448 | PA      | $472.22       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND GLOBAL HLDG CO LTD                                               | INGERSOLL RAND GLB HLDG CO LTD 4.25% 06/15/2023                                                   | CUSIP: 45687AAJ1<br>LEI: 549300UCF0D858BIOV83 | Long             | DBT              | CORP              | US        |    899000 | PA      | $896916.17    | 0.04%             | 2023-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.99% 5/34 #725828                                                                       | CUSIP: 31402DLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10468 | PA      | $10384.03     | 0.00%             | 2034-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1242000 | PA      | $1200995.72   | 0.05%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545762                                                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2910 | PA      | $3038.84      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.625% 03/15/2032 144A                                                                    | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    287000 | PA      | $242846.08    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+140 03/15/2026 144A                                                      | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464311 | PA      | $439841.58    | 0.02%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                  | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14217 | PA      | $13745.99     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 12/30 #493530                                                                          | CUSIP: 36210JHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4064 | PA      | $4244.53      | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/45#AZ5847                                                                       | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25507 | PA      | $23064.01     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.50% 12/40 #004881                                                                       | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66469 | PA      | $62512.63     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 08/01/2050#SD0430                                                                  | CUSIP: 3132DMPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2886388 | PA      | $2475368.81   | 0.10%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#J37406                                                                    | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17051 | PA      | $16206.61     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/20/2051#MA7192                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2025226 | PA      | $1709038.99   | 0.07%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/40 #747153                                                                           | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19012 | PA      | $19083.50     | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025                                                    | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   5035000 | PA      | $4826499.84   | 0.20%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                         | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1338000 | PA      | $1296422.52   | 0.05%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                  | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2268 | PA      | $2193.60      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14150 | PA      | $14009.70     | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.125% 08/15/2023                                                                       | CUSIP: 91282CAF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24017700 | PA      | $23352522.35  | 0.95%             | 2023-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023                                                  | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    381000 | PA      | $378833.38    | 0.02%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2044#Q25157                                                                  | CUSIP: 3132M5ME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78332 | PA      | $77722.41     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                              | STORE CAP CORP 2.75% 11/18/2030                                                                   | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |   2676000 | PA      | $2053794.17   | 0.08%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                                | FLATIRON CLO LTD 3ML+109 11/16/2034 144A                                                          | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1993704 | PA      | $1945288.89   | 0.08%             | 2034-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1073000 | PA      | $828187.45    | 0.03%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/01/2053 #TBA                                                                        | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2350000 | PA      | $-1973690.74  | -0.08%            | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01393                                                                           | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20243 | PA      | $20074.33     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                         | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1472000 | PA      | $1418691.65   | 0.06%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34030                                                                  | CUSIP: 3132QQPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47868 | PA      | $43474.50     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2298000 | PA      | $2026836.00   | 0.08%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#Q39975                                                                    | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16616 | PA      | $16013.19     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.125% 09/30/2024                                                                   | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    656000 | PA      | $649508.80    | 0.03%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                  | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209657 | PA      | $212099.10    | 0.01%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                  | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933485 | PA      | $796619.17    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/24 #436781                                                                          | CUSIP: 31380DFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51 | PA      | $51.25        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                               | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                                         | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   1561530 | PA      | $1523740.97   | 0.06%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                           | TMTS 2003-4HE A 1ML+43 9/34                                                                       | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2132 | PA      | $2010.58      | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2053#MA4866                                                                    | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2817210.60   | 0.11%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                               | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                         | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290693 | PA      | $1254949.84   | 0.05%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#SD7512                                                                    | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1775271 | PA      | $1589178.84   | 0.06%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                                        | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2482000 | PA      | $2306336.57   | 0.09%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   4972000 | PA      | $3436895.00   | 0.14%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                  | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83815 | PA      | $76259.96     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/28 #466052                                                                           | CUSIP: 36209AWM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1622 | PA      | $1674.54      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    244000 | PA      | $208953.20    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1440240.00   | 0.06%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/47#Q47942                                                                       | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44754 | PA      | $44141.38     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BD8012                                                                  | CUSIP: 3140FF3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63798 | PA      | $59461.13     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 06/01/2033#BJ6880                                                                    | CUSIP: 3140H8UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323965 | PA      | $306834.48    | 0.01%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 06/01/2033#MA3397                                                                  | CUSIP: 31418CX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31851 | PA      | $29658.05     | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                            | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191000 | PA      | $181201.81    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AX7918                                                                  | CUSIP: 3138Y9YQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8971 | PA      | $8654.28      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                  | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14268 | PA      | $14077.04     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                  | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11473 | PA      | $10438.76     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                            | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1559690 | PA      | $1454112.56   | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                  | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4976 | PA      | $4501.27      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8996                                                                    | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121861 | PA      | $112486.10    | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040                                                   | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $950805.23    | 0.04%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35579                                                                             | CUSIP: 3132QSFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23052 | PA      | $20878.44     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |   1611000 | PA      | $1451372.23   | 0.06%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                        | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    509000 | PA      | $380936.36    | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/27 #395783                                                                          | CUSIP: 31378DUG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $40.97        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28495                                                                    | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18152 | PA      | $17521.93     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.293% 3/35 #815586                                                                      | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1672 | PA      | $1695.01      | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                        | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806653 | PA      | $792433.28    | 0.03%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  51850000 | PA      | $43959078.13  | 1.79%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                  | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4081 | PA      | $3818.15      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  17054000 | PA      | $16190929.97  | 0.66%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#MA4305                                                                    | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2214370 | PA      | $1819548.23   | 0.07%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2042#792254                                                                    | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7321 | PA      | $7019.30      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/51#RA6435                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1576474 | PA      | $1344349.94   | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.50% #MA0022                                                                           | CUSIP: 31417YAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       752 | PA      | $747.50       | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1446000 | PA      | $1441482.10   | 0.06%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AE9338                                                                           | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11223 | PA      | $10863.58     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 11/25 #408838                                                                          | CUSIP: 36206EEK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $21.77        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.3% 01/11/2023                                                       | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1332000 | PA      | $1331544.32   | 0.05%             | 2023-01-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    909000 | PA      | $886856.10    | 0.04%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC                                       | VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A                                                 | CUSIP: 92918NAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2613900 | PA      | $2543107.75   | 0.10%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AH4545                                                                           | CUSIP: 3138A6BP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8101 | PA      | $7834.90      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A                                                       | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878763 | PA      | $834687.24    | 0.03%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479596                                                                          | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1592 | PA      | $1530.96      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                                 | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    640000 | PA      | $612672.53    | 0.02%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                  | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14071 | PA      | $13166.67     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #436779                                                                           | CUSIP: 36207NFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       198 | PA      | $203.56       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                          | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001573 | PA      | $958861.53    | 0.04%             | 2038-07-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                  | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13158 | PA      | $12728.07     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    615000 | PA      | $564051.40    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2044#AV8482                                                                  | CUSIP: 3138XLM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18060 | PA      | $17903.82     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                     | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12353900 | PA      | $7731804.19   | 0.32%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                  | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93435 | PA      | $87521.37     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15871                                                                           | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37568 | PA      | $35222.81     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2045000 | PA      | $1633813.55   | 0.07%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                 | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                                     | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1404000 | PA      | $1395207.73   | 0.06%             | 2039-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#BD2536                                                                  | CUSIP: 3140F9ZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50793 | PA      | $47356.26     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                         | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    402000 | PA      | $335655.59    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                | AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A                                                          | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   1280878 | PA      | $1246818.17   | 0.05%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/48#BJ5454                                                                       | CUSIP: 3140H7BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48692 | PA      | $47843.35     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                         | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656308 | PA      | $1617580.54   | 0.07%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                  | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2581864 | PA      | $2201703.28   | 0.09%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#FM3897                                                                    | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216562 | PA      | $178896.12    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2043#AV3928                                                                  | CUSIP: 3138XFLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87453 | PA      | $86695.09     | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 05/01/2041#MA4333                                                                    | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21295 | PA      | $18037.18     | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    829000 | PA      | $855815.06    | 0.03%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                  | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209131 | PA      | $206535.76    | 0.01%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                                                    | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414917 | PA      | $1347496.49   | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.5% 11/15/2023                                                                  | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    537000 | PA      | $533038.43    | 0.02%             | 2023-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                     | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005446 | PA      | $946800.38    | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.482% 03/19/2030                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   4122000 | PA      | $3844187.55   | 0.16%             | 2030-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.5% 01/15/2025                                | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2546000 | PA      | $2424756.32   | 0.10%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1343644.07   | 0.05%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2044#AV5414                                                                  | CUSIP: 3138XHAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18690 | PA      | $18527.68     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                   | MILOS CLO LTD 3ML+107 10/20/2030 144A                                                             | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   1997385 | PA      | $1968826.39   | 0.08%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 9/40 #004801                                                                        | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226932 | PA      | $224623.89    | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2046#BC6383                                                                  | CUSIP: 3140F2CV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35306 | PA      | $32939.01     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 7/45#Q34956                                                                             | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9232 | PA      | $8356.16      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2450228.90   | 0.10%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                  | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32573 | PA      | $29685.29     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -46650000 | PA      | $-39550453.13 | -1.61%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1402000 | PA      | $1096602.31   | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                         | BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A                                                   | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   2070385 | PA      | $2037447.25   | 0.08%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 05/01/2033#G18687                                                                  | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12075 | PA      | $11253.29     | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27236 | PA      | $24780.60     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2346                                                                    | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375086 | PA      | $308676.85    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                 | INVESCO CLO LTD 3ML+113 10/22/2034 144A                                                           | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1367988 | PA      | $1327128.93   | 0.05%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1295000 | PA      | $1084919.00   | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 02/01/2053 #TBA                                                                      | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11900000 | PA      | $10316660.97  | 0.42%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                  | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87095 | PA      | $78889.04     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33801                                                                  | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3960 | PA      | $3705.85      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 1/28 #449499                                                                           | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1021 | PA      | $1048.49      | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #501816                                                                           | CUSIP: 31383FN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       390 | PA      | $411.97       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                       | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389846 | PA      | $360769.22    | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 3% 03/22/2027                                                          | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    397000 | PA      | $368888.45    | 0.02%             | 2027-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34500000 | PA      | $29885390.40  | 1.22%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/37 #995073                                                                          | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52515 | PA      | $54796.27     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                         | MAGNETITE CLO LTD 2021-29A A 3ML+100 01/15/2034 144A                                              | CUSIP: 55955KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1904754 | PA      | $1868194.15   | 0.08%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                    | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   1461000 | PA      | $1351813.54   | 0.06%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/47#AL9779                                                                         | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039036 | PA      | $1001704.10   | 0.04%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK7441                                                                           | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19252 | PA      | $18613.63     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511414                                                                           | CUSIP: 31383SDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.58        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                               | MAGNE 2020-27A AR 3ML+114 10/20/2034 144A                                                         | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    461006 | PA      | $448725.26    | 0.02%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5168 | PA      | $4955.54      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                  | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828692 | PA      | $706673.06    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                               | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                   | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5047000 | PA      | $4925857.87   | 0.20%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 6/27 #780580                                                                           | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       530 | PA      | $544.93       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229409 | PA      | $210068.72    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2046#BD3432                                                                  | CUSIP: 3140FAY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58683 | PA      | $54657.26     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.25% 03/15/2023                                                               | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    312000 | PA      | $311236.98    | 0.01%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BK2527                                                                    | CUSIP: 3140HFYZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9769 | PA      | $9362.94      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2052#CB4843                                                                  | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979536 | PA      | $985074.41    | 0.04%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                   | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1439000 | PA      | $1435846.29   | 0.06%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.75% 08/31/2026                                                                        | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15336200 | PA      | $13579126.81  | 0.55%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2046#AS6620                                                                  | CUSIP: 3138WGLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126259 | PA      | $117794.95    | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#BC4754                                                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272360 | PA      | $263169.57    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 6.296/VAR 10/18/2028                                                               | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2580761.33   | 0.11%             | 2028-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/24 #279712                                                                           | CUSIP: 31372QVD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $97.36        | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 02/15/2042#778869                                                                  | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4609 | PA      | $4422.17      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #412599                                                                           | CUSIP: 31378YKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       448 | PA      | $464.27       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2050#CA7616                                                                    | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159776 | PA      | $131936.71    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $351161.64    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#CA5039                                                                    | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101718 | PA      | $96276.21     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#670029                                                                    | CUSIP: 36295GLJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4990 | PA      | $4542.30      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.8% 08/15/2038                                                                        | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1158000 | PA      | $1074661.95   | 0.04%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G08687                                                                  | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23230 | PA      | $21707.17     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                            | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    537000 | PA      | $545847.90    | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.85% 12/15/2032                                                               | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    301000 | PA      | $244099.45    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1799                                                                    | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200665 | PA      | $989213.28    | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                             | EMERA US FINANCE LP 3.55% 06/15/2026                                                              | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | PA      | $543286.09    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/25 #303237                                                                           | CUSIP: 31373TZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86 | PA      | $86.08        | 0.00%             | 2025-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 03/01/2033#AB0066                                                                    | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9402 | PA      | $9429.75      | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#MA4281                                                                    | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266442 | PA      | $1862336.07   | 0.08%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2052#BW1201                                                                    | CUSIP: 3140MSKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99990 | PA      | $98650.53     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                  | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34213 | PA      | $31129.30     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                  | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121314 | PA      | $99204.47     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/27 #250912                                                                           | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $133.99       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2356000 | PA      | $2517315.32   | 0.10%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 08/01/2051#QC5631                                                                    | CUSIP: 3133AQHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4849997 | PA      | $4271120.74   | 0.17%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                  | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53980 | PA      | $48793.88     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                       | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415000 | PA      | $1369153.29   | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                             | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A 3ML+99 04/20/2034 144A                               | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3132569 | PA      | $3036430.46   | 0.12%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/27 #313644                                                                           | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       109 | PA      | $111.75       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 03/15/2043#AB3930                                                                  | CUSIP: 36178QLK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55639 | PA      | $52124.64     | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3009000 | PA      | $2537255.96   | 0.10%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2052#CB3061                                                                    | CUSIP: 3140QNMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5749977 | PA      | $5063233.41   | 0.21%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 11/01/2031#                                                                        | CUSIP: 31298YN64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $64.75        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/44#Q27794                                                                    | CUSIP: 3132M8KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12659 | PA      | $12219.53     | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/40 #737454                                                                           | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19654 | PA      | $19722.84     | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 08/15/2042#AB2759                                                                  | CUSIP: 36178NB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73003 | PA      | $68425.19     | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                             | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129357 | PA      | $1077442.38   | 0.04%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#G61047                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103050 | PA      | $101768.58    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2051#QC8780                                                                    | CUSIP: 3133ATXH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10449485 | PA      | $9192480.17   | 0.37%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                         | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113488 | PA      | $86267.38     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                  | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26910 | PA      | $26009.25     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3258000 | PA      | $2991810.36   | 0.12%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                   | AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024                                                    | CUSIP: 008252AM0<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1298559.28   | 0.05%             | 2024-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1097000 | PA      | $829332.00    | 0.03%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 3.75% 02/15/2052                                                               | CUSIP: 15135UAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2600000 | PA      | $1825728.01   | 0.07%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                          | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                                   | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3658294 | PA      | $3511434.71   | 0.14%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #303450                                                                           | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       483 | PA      | $489.10       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/28 #446737                                                                          | CUSIP: 36208CHN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3071 | PA      | $3190.40      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2045#AY5052                                                                  | CUSIP: 3138YJTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13456 | PA      | $13360.38     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                     | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23300000 | PA      | $18752851.22  | 0.76%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 2/42 #AJ9901                                                                           | CUSIP: 3138E3AB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37850 | PA      | $35441.44     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2043#BM1167                                                                    | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123099 | PA      | $119016.23    | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025                                                    | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    696000 | PA      | $679258.85    | 0.03%             | 2025-10-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                  | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                      | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850545 | PA      | $808225.62    | 0.03%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/40 #741372                                                                           | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18120 | PA      | $17837.47     | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#SD7541                                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122623 | PA      | $927721.96    | 0.04%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                 | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A                           | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2223747 | PA      | $2152542.62   | 0.09%             | 2035-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.78% 10/35 #1N0063                                                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2032 | PA      | $2084.61      | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151287 | PA      | $144961.08    | 0.01%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3400000 | PA      | $3410095.28   | 0.14%             | 2053-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    649000 | PA      | $577310.54    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                  | HALLIBURTON CO 3.8% 11/15/2025                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17507.80     | 0.00%             | 2025-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 06/01/2041#MA4364                                                                    | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21577 | PA      | $18275.93     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 4.45% 06/12/2025                                                            | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    718000 | PA      | $702388.70    | 0.03%             | 2025-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 3.85% 07/15/2029                                                                     | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    391000 | PA      | $351223.66    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   2447000 | PA      | $2268165.14   | 0.09%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                        | RR 7 LTD 3ML+134 01/15/2037 144A                                                                  | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2626000 | PA      | $2560909.34   | 0.10%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                  | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6821 | PA      | $6590.54      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                 | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1706936 | PA      | $1364830.68   | 0.06%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                          | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                                 | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2429000 | PA      | $2339365.04   | 0.10%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 4.03% 01/25/2024                                                                         | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    389000 | PA      | $384488.87    | 0.02%             | 2024-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    534000 | PA      | $495764.35    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.875% 02/28/2027                                                                       | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $6227843.78   | 0.25%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2043#AU2854                                                                    | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91375 | PA      | $88234.61     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                     | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1395455 | PA      | $1089953.62   | 0.04%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 4.25% 09/15/2024                                                                   | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1093000 | PA      | $1069387.75   | 0.04%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.625% 01/20/2027                                                                  | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3374000 | PA      | $3181732.78   | 0.13%             | 2027-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                  | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7341 | PA      | $7095.16      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201824 | PA      | $174807.35    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#MA3090                                                                    | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307081 | PA      | $291611.18    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN7592                                                                    | CUSIP: 36186QNH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4581 | PA      | $4169.28      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25146                                                                  | CUSIP: 3132M5L34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78391 | PA      | $77783.33     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #313946                                                                           | CUSIP: 31374GWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181 | PA      | $186.34       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A                                                   | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3245000 | PA      | $2868776.10   | 0.12%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    460000 | PA      | $400764.34    | 0.02%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 02/15/2045#AK6887                                                                    | CUSIP: 36183QUL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5444 | PA      | $4958.43      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                               | SITE CENTERS CORP 3.625% 02/01/2025                                                               | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    694000 | PA      | $654991.83    | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                  | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29560 | PA      | $28570.78     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                        | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420518 | PA      | $400878.84    | 0.02%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                  | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4067 | PA      | $3700.42      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/31 #550143                                                                           | CUSIP: 36213CEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       510 | PA      | $532.76       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    959000 | PA      | $915302.85    | 0.04%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.6% 03/09/2026                                                                     | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    673000 | PA      | $661033.74    | 0.03%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35375                                                                             | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14140 | PA      | $12798.27     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                  | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7669 | PA      | $7605.93      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                     | MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A                                              | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   1782000 | PA      | $1167841.86   | 0.05%             | 2070-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                              | AUTONATION INC DEL 4.75% 06/01/2030                                                               | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    234000 | PA      | $208773.60    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1564000 | PA      | $1322158.68   | 0.05%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025                                                      | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1323946.51   | 0.05%             | 2025-10-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                           | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    409000 | PA      | $389167.59    | 0.02%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2043#MA1225                                                                    | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26700 | PA      | $25934.29     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 11/27 #461022                                                                          | CUSIP: 36208UD38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       283 | PA      | $288.40       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                              | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1427000 | PA      | $1275237.77   | 0.05%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/44#Q28991                                                                    | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39395 | PA      | $38027.17     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AO1215                                                                           | CUSIP: 3138LRK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70595 | PA      | $65988.82     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.75% 04/30/2026                                                                        | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41407700 | PA      | $37016219.21  | 1.51%             | 2026-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                      | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                                | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2283000 | PA      | $2227762.82   | 0.09%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 04/01/2041#                                                                          | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20742 | PA      | $17620.89     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/41 #004978                                                                        | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9884 | PA      | $9782.75      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                  | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4066 | PA      | $3930.01      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2042#616913                                                                  | CUSIP: 36290TK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59995 | PA      | $56225.84     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/15/2045#AN5721                                                                    | CUSIP: 36186NLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3832 | PA      | $3487.52      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 3.9% 01/15/2025                                                                  | CUSIP: 96950FAQ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    373000 | PA      | $363238.71    | 0.01%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2033#ZS8682                                                                    | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61342 | PA      | $58175.15     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   4049000 | PA      | $2457996.06   | 0.10%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.5% 03/31/2027                                                                         | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $23459961.00  | 0.96%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                  | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941699 | PA      | $802452.12    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                  | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29488 | PA      | $29204.63     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.125% 08/31/2028                                                                       | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38104900 | PA      | $32535035.13  | 1.33%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                  | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146379 | PA      | $136428.73    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                  | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50274 | PA      | $45396.86     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045 | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    842000 | PA      | $759293.77    | 0.03%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LUCALI CLO LTD                                                                  | LUCALI CLO LTD 2020-1A A 3ML+121 01/15/2033 144A                                                  | CUSIP: 54929JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    981516 | PA      | $968146.77    | 0.04%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783262                                                                           | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77725 | PA      | $76507.25     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3% 09/15/2023                                                                      | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    269000 | PA      | $264437.49    | 0.01%             | 2023-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    631000 | PA      | $641489.07    | 0.03%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    732000 | PA      | $674729.55    | 0.03%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3100000 | PA      | $2988109.22   | 0.12%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #439864                                                                           | CUSIP: 36207RTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       255 | PA      | $262.84       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1385000 | PA      | $1082738.65   | 0.04%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 11/36 #995606                                                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25273 | PA      | $25385.44     | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                   | DISCOVER BANK 4.2% 08/08/2023                                                                     | CUSIP: 25466AAD3<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    874000 | PA      | $868312.10    | 0.04%             | 2023-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#BE0548                                                                  | CUSIP: 3140FKTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99964 | PA      | $93137.45     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 5% 05/01/2042                                                            | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   4016000 | PA      | $3562099.35   | 0.15%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.2% 05/12/2026                                                              | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1908000 | PA      | $1855521.45   | 0.08%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25069                                                                  | CUSIP: 3132M5JN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71032 | PA      | $70481.66     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | METROPOLITAN LIFE GLBL FDG I 3% 01/10/2023 144A                                                   | CUSIP: 59217GAX7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    809000 | PA      | $808724.58    | 0.03%             | 2023-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43857 | PA      | $44363.73     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/28 #422181                                                                          | CUSIP: 31379K6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       355 | PA      | $365.75       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#FS3248                                                                    | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897337 | PA      | $896812.21    | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.753% 10/33 #746320                                                                     | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3145 | PA      | $3208.76      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                  | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9717 | PA      | $8819.76      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                         | DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A                                                   | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1021083 | PA      | $990299.39    | 0.04%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A                                                      | CUSIP: 80413TAU3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    736000 | PA      | $650118.00    | 0.03%             | 2060-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #447529                                                                           | CUSIP: 36208DEA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       131 | PA      | $134.62       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/26 #313182                                                                          | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1521 | PA      | $1563.37      | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                               | EVERSOURCE ENERGY 2.8% 05/01/2023                                                                 | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1567000 | PA      | $1559024.61   | 0.06%             | 2023-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #514340                                                                           | CUSIP: 31383VLV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.60        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8985                                                                    | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28973 | PA      | $26744.40     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A                                  | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514682 | PA      | $478862.96    | 0.02%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4340000 | PA      | $3418265.59   | 0.14%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.125% 08/31/2023                                                                       | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35211900 | PA      | $34148665.76  | 1.39%             | 2023-08-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2047#MA4381                                                                      | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22150 | PA      | $20043.20     | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/52#RA6820                                                                         | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3138342 | PA      | $2573872.53   | 0.10%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/46#BC6151                                                                         | CUSIP: 3140F1ZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14629 | PA      | $14084.67     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/47#BE3749                                                                       | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206681 | PA      | $203597.09    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    560000 | PA      | $446068.62    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#CA4536                                                                    | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804809 | PA      | $716924.30    | 0.03%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.358% 10/33 #754672                                                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1196 | PA      | $1208.87      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                  | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32118 | PA      | $31477.80     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/27 #399910                                                                          | CUSIP: 31378JGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       387 | PA      | $390.09       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.2% 09/15/2023                                                                | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    364000 | PA      | $361715.20    | 0.01%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                  | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28502 | PA      | $25932.79     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1036000 | PA      | $910531.41    | 0.04%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 4.5% 01/30/2026                                                            | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   1437000 | PA      | $1389014.13   | 0.06%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558699 | PA      | $534952.94    | 0.02%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                  | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6475 | PA      | $5891.30      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#QC1514                                                                         | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125915 | PA      | $103660.87    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 04/39#FM1039                                                                       | CUSIP: 3140X4EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6925 | PA      | $6564.16      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | ILLINOIS ST BUILD AMERICA BONDS-IL ST                                                             | CUSIP: 452152BM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3770000 | PA      | $3821679.16   | 0.16%             | 2035-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030                                                        | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2253000 | PA      | $2075149.26   | 0.08%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                   | BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A                                  | CUSIP: 06762LAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1292534 | PA      | $1257652.38   | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023                                                          | CUSIP: 89236TGW9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2377000 | PA      | $2367565.95   | 0.10%             | 2023-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                             | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2151000 | PA      | $2106709.45   | 0.09%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FDG TR                                                        | PEACHTREE CORNERS FDG TR 3.976% 02/15/2025 144A                                                   | CUSIP: 70466WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1534000 | PA      | $1480738.86   | 0.06%             | 2025-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 5/42 #766750                                                                           | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110033 | PA      | $103211.10    | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 2.836% 01/15/2050 144A                                                               | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1902000 | PA      | $1793678.63   | 0.07%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #443199                                                                           | CUSIP: 36207VKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $142.23       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1027000 | PA      | $791642.23    | 0.03%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #711188                                                                           | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1764 | PA      | $1735.91      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                  | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87760 | PA      | $86559.42     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 3/29 #487575                                                                           | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1374 | PA      | $1422.41      | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 5/46#Q40310                                                                          | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63865 | PA      | $57604.19     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2045#AU2444                                                                  | CUSIP: 3138X1WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17704 | PA      | $16003.15     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2045#G07949                                                                    | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236419 | PA      | $228800.51    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                  | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       985 | PA      | $955.49       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 3.8% 04/15/2024                                                       | CUSIP: 136385AT8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   2081000 | PA      | $2039280.57   | 0.08%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                          | PRIMA CAPITAL LTD 2021-9A A 1ML+145 12/15/2037 144A                                               | CUSIP: 74167CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139306 | PA      | $137575.98    | 0.01%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17400000 | PA      | $15104151.78  | 0.62%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738886                                                                          | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30236 | PA      | $29034.68     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AX5347                                                                  | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47729 | PA      | $46028.99     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6.25% 04/15/2049                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    432000 | PA      | $401705.75    | 0.02%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 7/37 #G03508                                                                           | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2306 | PA      | $2413.06      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/42 #AL2128                                                                           | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5501 | PA      | $5778.02      | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/25 #328844                                                                          | CUSIP: 31375AHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $187.47       | 0.00%             | 2025-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/45#AY8537                                                                         | CUSIP: 3138YNPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13470 | PA      | $12978.07     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/28 #251409                                                                           | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195 | PA      | $200.87       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                       | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3926000 | PA      | $3666713.02   | 0.15%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                    | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2538422 | PA      | $2484362.84   | 0.10%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX4256                                                                  | CUSIP: 3138Y5WS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22114 | PA      | $21887.67     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.04% 05/01/2027                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    909000 | PA      | $898980.59    | 0.04%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP VAR 05/15/2024                                                                 | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    405000 | PA      | $394438.15    | 0.02%             | 2024-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2041#                                                                        | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22396 | PA      | $22218.55     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.451% 11/35 #1G1790                                                                     | CUSIP: 3128QJ7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2837 | PA      | $2860.95      | 0.00%             | 2035-11-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #250551                                                                           | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1243 | PA      | $1268.23      | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/32#MA3125                                                                         | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53822 | PA      | $51110.14     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.05% 03/15/2042 144A                                                              | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    996000 | PA      | $762021.87    | 0.03%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3.5% 02/01/2034#G16752                                                                  | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206981 | PA      | $199079.85    | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.375% 07/01/2025                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1977000 | PA      | $1869887.76   | 0.08%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                         | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                                | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   1736000 | PA      | $1688772.12   | 0.07%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1999-57 PH 6.5% 12/29                                                                         | CUSIP: 31359XGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     21545 | PA      | $21823.38     | 0.00%             | 2029-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $234222.90    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.8% 12/01/2057                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4678000 | PA      | $3227507.98   | 0.13%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 3/30 #479229                                                                           | CUSIP: 36209RLJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       858 | PA      | $906.45       | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                        | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2023567.82   | 0.08%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.02% 06/15/2026                                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $489674.80    | 0.02%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    308000 | PA      | $331732.74    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023                              | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1286000 | PA      | $1277011.93   | 0.05%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                  | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37484 | PA      | $34105.39     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2576000 | PA      | $2437592.42   | 0.10%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2047#Q51124                                                                    | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4677 | PA      | $4495.62      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/25 #319653                                                                           | CUSIP: 31374PBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $41.18        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35367                                                                             | CUSIP: 3132QR6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19841 | PA      | $17970.28     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2044#AS2751                                                                  | CUSIP: 3138WCBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36126 | PA      | $35778.69     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 05/01/2036#745512                                                                    | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415703 | PA      | $432196.05    | 0.02%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                    | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2950000 | PA      | $2290068.07   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                      | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     89000 | PA      | $80839.27     | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2986000 | PA      | $2595321.52   | 0.11%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #510172                                                                           | CUSIP: 31383QW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       419 | PA      | $435.21       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2046#BE1891                                                                  | CUSIP: 3140FMC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70021 | PA      | $65217.18     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PETROLEO                                                   | EMPRESA NACIONAL DEL PETROLEO 4.375% 10/30/2024 144A                                              | CUSIP: 29245JAH5<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |   1086000 | PA      | $1053284.25   | 0.04%             | 2024-10-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BM3700                                                                    | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248633 | PA      | $239155.77    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   6199000 | PA      | $5901825.77   | 0.24%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2042#AJ6217                                                                    | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3419 | PA      | $3307.63      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 4.709% 01/25/2029                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    563000 | PA      | $544014.02    | 0.02%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 6.15% 09/15/2043                                                            | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1094401.12   | 0.04%             | 2043-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | METLIFE INC 4.55% 03/23/2030                                                                      | CUSIP: 59156RBZ0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   3527000 | PA      | $3466907.26   | 0.14%             | 2030-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1121270.11   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #664574                                                                           | CUSIP: 36295AJT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2066 | PA      | $2069.72      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13634                                                                      | CUSIP: 3132HQBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99344 | PA      | $90496.24     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                               | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   1761172 | PA      | $1599954.77   | 0.07%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2119135 | PA      | $1720997.53   | 0.07%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #782989                                                                           | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42761 | PA      | $42091.29     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                    | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577561 | PA      | $545696.50    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 02/15/2045#AL3843                                                                  | CUSIP: 36184AHU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7939 | PA      | $7230.93      | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738229                                                                           | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6483 | PA      | $6502.99      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1677000 | PA      | $1646807.93   | 0.07%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/29 #518567                                                                          | CUSIP: 31384BCC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $110.55       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87379 | PA      | $86577.66     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                | ENTERGY CORP NEW 2.8% 06/15/2030                                                                  | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    876000 | PA      | $739903.60    | 0.03%             | 2030-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783295                                                                           | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301578 | PA      | $296839.23    | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/27 #399572                                                                          | CUSIP: 31378H2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       287 | PA      | $299.11       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8493475 | PA      | $7756864.56   | 0.32%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                  | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2268154 | PA      | $1935601.96   | 0.08%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #754197                                                                           | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3176 | PA      | $3047.36      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 3.375% 03/25/2027                                                                    | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1742000 | PA      | $1670631.67   | 0.07%             | 2027-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                  | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39585 | PA      | $36859.67     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.864%/VAR 07/23/2024                                                 | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1327859.60   | 0.05%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.25% 07/31/2025                                                                        | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83520600 | PA      | $75367553.72  | 3.07%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.9% 12/15/2048                                                                        | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1042470.66   | 0.04%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 1/1/43 #Q14696                                                                       | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77567 | PA      | $70641.42     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | ZOETIS INC 3.25% 02/01/2023                                                                       | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    506000 | PA      | $505261.98    | 0.02%             | 2023-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK3548                                                                           | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6434 | PA      | $6222.32      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 4.927/VAR 05/10/2028                                                   | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2226646.51   | 0.09%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A                                    | CUSIP: 12690CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347211 | PA      | $326827.04    | 0.01%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                  | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41596 | PA      | $37846.98     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 11/30/2027                                                                       | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55000000 | PA      | $54699218.75  | 2.23%             | 2027-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: —       |
| SANTANDER HLDGS USA INC                                                         | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1754000 | PA      | $1504901.45   | 0.06%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #510166                                                                           | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       807 | PA      | $849.55       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                          | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $92144.03     | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 3.875% 03/15/2023                                                           | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    543000 | PA      | $539915.76    | 0.02%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 5/40 #AL2129                                                                           | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74645 | PA      | $78072.68     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.50% 7/25 #G13844                                                                      | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12409 | PA      | $12320.46     | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                  | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46754 | PA      | $46187.72     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 3.6% 05/01/2030                                                                      | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1602000 | PA      | $1426452.90   | 0.06%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #738218                                                                           | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5918 | PA      | $5945.08      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                   | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                             | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591140 | PA      | $528447.21    | 0.02%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                  | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3746 | PA      | $3404.72      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #723339                                                                           | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11838 | PA      | $11872.42     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2050#CA5966                                                                  | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461302 | PA      | $398207.64    | 0.02%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    692000 | PA      | $633533.58    | 0.03%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2029000 | PA      | $1924846.72   | 0.08%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AK1510                                                                           | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18786 | PA      | $18165.52     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2046#G61420                                                                  | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125140 | PA      | $117015.73    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2893000 | PA      | $2244703.84   | 0.09%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                  | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16166 | PA      | $14708.91     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #783143                                                                          | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15599 | PA      | $14982.03     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 01/01/2027#                                                                        | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $262.09       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 167296908 | NS      | $167330367.14 | 6.82%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AX6700                                                                  | CUSIP: 3138Y8NS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7337 | PA      | $7261.45      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 07/15/2043#AF0101                                                                  | CUSIP: 36181FDE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81993 | PA      | $76788.50     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1311000 | PA      | $1305249.55   | 0.05%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#BD4423                                                                  | CUSIP: 3140FB4H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105723 | PA      | $98503.05     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                  | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14705 | PA      | $14225.14     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2051#MA7472                                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2458017 | PA      | $2137671.28   | 0.09%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                 | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187000 | PA      | $1136644.37   | 0.05%             | 2039-05-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                                   | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2648253 | PA      | $2541977.02   | 0.10%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025                                                       | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1976000 | PA      | $1897752.65   | 0.08%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 01/01/2038 #TBA                                                                      | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16950000 | PA      | $15098214.20  | 0.62%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 3/1/43 #AT0170                                                                     | CUSIP: 3138WMFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112142 | PA      | $105045.00    | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/40 #743665                                                                           | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11944 | PA      | $11985.79     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 4.25% 05/15/2023                                                         | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    638000 | PA      | $635361.34    | 0.03%             | 2023-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/40 #004833                                                                       | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109057 | PA      | $105150.48    | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM 30YR 4.5% 10/01/2040#                                                                        | CUSIP: 3129424K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4246 | PA      | $4207.38      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5336 | PA      | $5571.71      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 1.45% 10/02/2023                                                                    | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    678000 | PA      | $657259.74    | 0.03%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                      | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6470000 | PA      | $5736508.39   | 0.23%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                | COMCAST CORP NEW 4.65% 07/15/2042                                                                 | CUSIP: 20030NBE0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    779000 | PA      | $703327.40    | 0.03%             | 2042-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 03/15/2045#AL5046                                                                    | CUSIP: 36184BTB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5410 | PA      | $4928.00      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE D CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465913 | PA      | $429369.53    | 0.02%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2052#MA4623                                                                  | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378712 | PA      | $1170320.97   | 0.05%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 3.35% 03/15/2032                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    546000 | PA      | $474197.36    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE C CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233110 | PA      | $218595.29    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024                              | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1538000 | PA      | $1523327.16   | 0.06%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371442 | PA      | $335521.89    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5245000 | PA      | $5000626.85   | 0.20%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16376 | PA      | $15878.18     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74723 | PA      | $70058.89     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 12/15/2042#AB8144                                                                    | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2975 | PA      | $2852.77      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                          | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    499000 | PA      | $416610.11    | 0.02%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                  | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11172 | PA      | $10165.18     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                         | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    688000 | PA      | $636136.80    | 0.03%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                  | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15278 | PA      | $14756.56     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    211000 | PA      | $198079.20    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2046#BC8095                                                                    | CUSIP: 3140F37H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110148 | PA      | $105948.99    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                  | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9760 | PA      | $9458.73      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                       | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470353 | PA      | $2375869.90   | 0.10%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 3.05% 10/15/2027                                                                       | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    982000 | PA      | $898487.50    | 0.04%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                  | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                          | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2221000 | PA      | $2390912.05   | 0.10%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.25% 01/15/2029  | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $885365.01    | 0.04%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/41 #005280                                                                       | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747273 | PA      | $719911.68    | 0.03%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1150687.66   | 0.05%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4656000 | PA      | $3585617.35   | 0.15%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 12/01/2044#Q30848                                                                  | CUSIP: 3132QL5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14911 | PA      | $13509.97     | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                  | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72229 | PA      | $59065.31     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5% 11/24/2025                                                                      | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4489000 | PA      | $4475468.94   | 0.18%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                            | CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A                                      | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1944015 | PA      | $1885754.81   | 0.08%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                  | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652685 | PA      | $567596.27    | 0.02%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19257 | PA      | $19095.81     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 06/01/2045#Q34104                                                                  | CUSIP: 3132QQR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20800 | PA      | $18838.42     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#G18681                                                                    | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75252 | PA      | $71429.04     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                       | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334000 | PA      | $311877.81    | 0.01%             | 2039-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1566098 | PA      | $1158955.95   | 0.05%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                     | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    724000 | PA      | $573828.34    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #435836                                                                           | CUSIP: 36207MEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       809 | PA      | $835.93       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                  | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239210 | PA      | $220645.39    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                             | ARES XLI CLO LTD / ARES XLI CLO LLC 1ML+107 04/15/2034 144A                                       | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2173138 | PA      | $2109019.56   | 0.09%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119341 | PA      | $97591.20     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                 | ALLEGRO CLO LTD 3ML+114 07/20/2034 144A                                                           | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1532085 | PA      | $1489011.96   | 0.06%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/47#784304                                                                           | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216086 | PA      | $207725.90    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1293951 | PA      | $1252618.41   | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.409% 5/35 #829985                                                                      | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4766 | PA      | $4858.58      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                  | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139418 | PA      | $130627.56    | 0.01%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004746                                                                        | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49963 | PA      | $49453.86     | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       913 | PA      | $939.66       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116028 | PA      | $94881.38     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2034#CA4890                                                                    | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107894 | PA      | $102121.64    | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025                                                | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   3813000 | PA      | $3754308.17   | 0.15%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX4421                                                                  | CUSIP: 3138Y54F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66857 | PA      | $66172.90     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727139                                                                  | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52964 | PA      | $52306.48     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/28 #457547                                                                          | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $119.53       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 4/41 #762904                                                                           | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29561 | PA      | $29095.05     | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STRATUS STATIC CLO 2022-1 LTD                                                   | STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A                                          | CUSIP: 86317WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    413740 | PA      | $408110.99    | 0.02%             | 2030-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#BK5705                                                                    | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049829 | PA      | $939043.41    | 0.04%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AN8980                                                                    | CUSIP: 36186S6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8952 | PA      | $8148.15      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                  | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12687 | PA      | $11543.56     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 7/41 #769093                                                                           | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13423 | PA      | $12880.10     | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AK7286                                                                  | CUSIP: 36183RCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2374 | PA      | $2162.11      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                  | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15063 | PA      | $14575.08     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6510                                                                    | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1223342 | PA      | $1004455.99   | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2350                                                                    | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931566 | PA      | $764594.57    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.5% 07/15/2023                                                                           | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    606000 | PA      | $603549.12    | 0.02%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/47#Q48876                                                                       | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60193 | PA      | $59463.79     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                  | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73821 | PA      | $68734.10     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -5600000 | PA      | $-5145168.00  | -0.21%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                  | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5477 | PA      | $4957.78      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                  | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125282 | PA      | $117461.31    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1814000 | PA      | $1488183.52   | 0.06%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                             | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    376000 | PA      | $350572.86    | 0.01%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.141% 03/15/2052 144A                                                             | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1583000 | PA      | $1150787.84   | 0.05%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                             | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    854000 | PA      | $702235.61    | 0.03%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772060                                                                           | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15620 | PA      | $14991.47     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A                                                 | CUSIP: 83368RBE1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4852000 | PA      | $4491675.92   | 0.18%             | 2025-06-18      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.15% 4/35 #1N0006                                                                       | CUSIP: 3128QGAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12212 | PA      | $12322.57     | 0.00%             | 2035-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/28 #415853                                                                           | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       633 | PA      | $656.36       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 10/31/2027                                                                       | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10036718.80  | 0.41%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2032#G18665                                                                  | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16455 | PA      | $15371.56     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 3/39 #697924                                                                           | CUSIP: 36296QLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9791 | PA      | $9813.01      | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/40 #AH1016                                                                          | CUSIP: 3138A2DW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3229 | PA      | $3128.56      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 11/15/2041                                                         | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16500000 | PA      | $11781386.76  | 0.48%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                    | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    312000 | PA      | $270751.63    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 01/01/2053 #TBA                                                                        | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3200000 | PA      | $3029350.08   | 0.12%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                      | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1193000 | PA      | $1105956.01   | 0.05%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                  | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23213 | PA      | $22436.27     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/38 #889219                                                                           | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19083 | PA      | $19972.62     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3492000 | PA      | $3270024.04   | 0.13%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 4.1% 02/09/2027                                                            | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    875000 | PA      | $823370.42    | 0.03%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2044#Q26541                                                                  | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11056 | PA      | $10679.04     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/28 #428795                                                                           | CUSIP: 31379TKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1441 | PA      | $1497.82      | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #698474                                                                           | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54449 | PA      | $53579.34     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3595 | PA      | $3562.64      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/39 #G05457                                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65981 | PA      | $65388.93     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                   | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1187686.18   | 0.05%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK2525                                                                           | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13425 | PA      | $12992.97     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/29 #511104                                                                           | CUSIP: 31383RX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       628 | PA      | $660.92       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12774000 | PA      | $11868718.63  | 0.48%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#CB2164                                                                    | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1483708 | PA      | $1315891.84   | 0.05%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                   | VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A                                              | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1531000 | PA      | $1518768.92   | 0.06%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                 | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                                  | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    529405 | PA      | $520188.59    | 0.02%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.75% 03/26/2025                                                             | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1429000 | PA      | $1286156.57   | 0.05%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/46#BC0287                                                                       | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14487 | PA      | $14293.90     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2047#Q53017                                                                  | CUSIP: 3132XVK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218374 | PA      | $214839.68    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/27 #366829                                                                           | CUSIP: 31376VPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       806 | PA      | $825.88       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2052#QD5189                                                                    | CUSIP: 3133B2XS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3050503 | PA      | $2681402.49   | 0.11%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                | MORGAN STANLEY CAP I TR 2018-BOP C 1ML+150 06/15/2035 144A                                        | CUSIP: 61768FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2551942 | PA      | $2377298.47   | 0.10%             | 2033-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/47#MA4511                                                                           | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293704 | PA      | $282156.67    | 0.01%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43542800 | PA      | $29797902.97  | 1.22%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                       | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1698000 | PA      | $1396364.83   | 0.06%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2045#MA3035                                                                    | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515380 | PA      | $499304.98    | 0.02%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 8/37 #G06089                                                                           | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23817 | PA      | $24869.19     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1810000 | PA      | $1418587.50   | 0.06%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 02/01/2028#                                                                        | CUSIP: 31292GUK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77 | PA      | $79.68        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                  | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14764 | PA      | $14571.47     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #353415                                                                           | CUSIP: 36203MSC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1182 | PA      | $1216.27      | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/41 #489862                                                                          | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40289 | PA      | $38657.12     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                                 | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                                     | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2328000 | PA      | $2312692.70   | 0.09%             | 2039-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                  | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148543 | PA      | $144034.83    | 0.01%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/47#Q48877                                                                         | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265364 | PA      | $255816.80    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #404846                                                                          | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       513 | PA      | $532.66       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                  | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24401 | PA      | $22051.95     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                  | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14581 | PA      | $14092.99     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 08/01/2039#MA3761                                                                  | CUSIP: 31418DFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25071 | PA      | $22436.79     | 0.00%             | 2039-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                                     | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2419570 | PA      | $2361128.48   | 0.10%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.5% 09/01/2030                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1086720.04   | 0.04%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18683                                                                  | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46533 | PA      | $43367.35     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/45#AY3962                                                                         | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23985 | PA      | $23107.94     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL2303                                                                  | CUSIP: 36183XRY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2094 | PA      | $1907.54      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   1353000 | PA      | $1222211.73   | 0.05%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/29 #323500                                                                           | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $121.81       | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/1/42 #Q13479                                                                      | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4653 | PA      | $4222.56      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                  | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4888 | PA      | $4725.73      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024                                                       | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1754000 | PA      | $1736571.91   | 0.07%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                  | KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A                                               | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3167000 | PA      | $3050362.56   | 0.12%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/25 #329280                                                                          | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320 | PA      | $325.38       | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AO0257                                                                         | CUSIP: 3617A0JA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6422 | PA      | $5845.17      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                            | EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A                                                       | CUSIP: 29135LAJ9<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |   1748000 | PA      | $1473017.75   | 0.06%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#ZS8690                                                                    | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75259 | PA      | $71373.45     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3.625% 04/01/2027                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    551000 | PA      | $522871.33    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/25 #328609                                                                          | CUSIP: 31375AAJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $205.77       | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2046#BC2847                                                                    | CUSIP: 3140EXEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13153 | PA      | $12680.19     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                  | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750247 | PA      | $1492535.61   | 0.06%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/49#CA4421                                                                         | CUSIP: 3140QB4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266433 | PA      | $237422.05    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BH6415                                                                    | CUSIP: 3140GVDV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72423 | PA      | $68684.08     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 02/01/2053 #TBA                                                                      | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37450000 | PA      | $30602503.44  | 1.25%             | 2053-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA                                                      | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1100000 | PA      | $1376795.20   | 0.06%             | 2039-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 5/29 #508736                                                                           | CUSIP: 36211CEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1427 | PA      | $1465.77      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 04/20/2050#MA6599                                                                      | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1873738 | PA      | $1687032.30   | 0.07%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 4/32 #C01344                                                                           | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52778 | PA      | $54422.55     | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BM4614                                                                    | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105201 | PA      | $100032.54    | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 6/41 #768770                                                                           | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4628 | PA      | $4439.74      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 10/31 #550985                                                                          | CUSIP: 36213DCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3009 | PA      | $3149.08      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1183145 | PA      | $1149010.29   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 10/01/2039#FM1486                                                                  | CUSIP: 3140X4UL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125669 | PA      | $111681.80    | 0.00%             | 2039-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4912 | PA      | $5139.22      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3% 2/43 #Q15438                                                                              | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225092 | PA      | $205135.39    | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1481000 | PA      | $1345858.75   | 0.05%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/01/2053 #TBA                                                                      | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5600000 | PA      | $5147574.32   | 0.21%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727060                                                                  | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21497 | PA      | $21228.76     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20681 | PA      | $18653.69     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AL1871                                                                  | CUSIP: 36183XCG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1643 | PA      | $1496.55      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/20/2050#MA6474                                                                      | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369223 | PA      | $332663.03    | 0.01%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.24% 9/33 #555935                                                                       | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18187 | PA      | $17964.82     | 0.00%             | 2033-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 10/01/2041#AI6819                                                                   | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5613 | PA      | $5582.01      | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/26 #336195                                                                           | CUSIP: 31375JNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $92.21        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/32 #634194                                                                           | CUSIP: 31389SRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $318.40       | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                  | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21249 | PA      | $19187.32     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    437000 | PA      | $416767.80    | 0.02%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #444633                                                                           | CUSIP: 36207W4S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       377 | PA      | $389.19       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 04/01/2041#                                                                          | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21002 | PA      | $17841.42     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AASET 2019-1 TRUST                                                              | AASET 2019-1 TRUST 3.844% 05/15/2039 144A                                                         | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | US        |    637548 | PA      | $416011.80    | 0.02%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                     | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6057 | PA      | $5674.06      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK6409                                                                           | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22012 | PA      | $21275.50     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                  | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12668 | PA      | $12244.22     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9989 | PA      | $9899.62      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 31 LTD                                                        | COLUMBIA CENT CLO 31A A1 LTD 3ML+120 04/20/2034 144A                                              | CUSIP: 19737LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2085721 | PA      | $2025602.18   | 0.08%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1236000 | PA      | $1080809.92   | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1403000 | PA      | $1100127.28   | 0.04%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                        | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2285000 | PA      | $2230279.78   | 0.09%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 2.7% 06/22/2030                                                                       | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1533000 | PA      | $1198551.91   | 0.05%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                                                            | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    208000 | PA      | $207313.35    | 0.01%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/26 #358481                                                                          | CUSIP: 31376LFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $44.67        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                  | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17309 | PA      | $15661.09     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/2048#BJ2731                                                                    | CUSIP: 3140H4A95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632980 | PA      | $606874.30    | 0.02%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                             | MAGNETITE IX LTD /LLC 3ML+113 10/25/2034 144A                                                     | CUSIP: 55953UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2357478 | PA      | $2295429.18   | 0.09%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK6572                                                                           | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255236 | PA      | $238753.26    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/41 #Q03643                                                                          | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113727 | PA      | $113130.03    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 1.65% 06/22/2025                                                                      | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    302000 | PA      | $273519.14    | 0.01%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                  | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9289 | PA      | $8668.78      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                  | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14553 | PA      | $14066.17     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34292 | PA      | $33992.64     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    859000 | PA      | $808831.63    | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 7/40#V81831                                                                        | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10819 | PA      | $10117.00     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 06/01/2032#C91456                                                                  | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1908827 | PA      | $1830207.79   | 0.07%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                             | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    802000 | PA      | $663831.65    | 0.03%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC                             | MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+120 01/22/2031 144A                       | CUSIP: 55817AAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    573573 | PA      | $555935.06    | 0.02%             | 2031-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    673000 | PA      | $535385.81    | 0.02%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2% 01/15/2029                                                           | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    199000 | PA      | $152613.12    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2044#AX8928                                                                  | CUSIP: 3138YA4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32963 | PA      | $32625.42     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AK3531                                                                  | CUSIP: 36183L4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6806 | PA      | $6199.32      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383000 | PA      | $2308376.83   | 0.09%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                 | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430000 | PA      | $3344068.90   | 0.14%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.875% 10/01/2029                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1346000 | PA      | $1491813.54   | 0.06%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/45#AZ9583                                                                         | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6029 | PA      | $5804.82      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    192000 | PA      | $179337.77    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 3.85% 04/09/2025                                                                      | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    188000 | PA      | $183379.33    | 0.01%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 02/15/2047                                                         | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25251500 | PA      | $20669733.75  | 0.84%             | 2047-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/29 #499474                                                                           | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1927 | PA      | $1988.81      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719232                                                                           | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19737 | PA      | $19428.27     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#FM1277                                                                    | CUSIP: 3140X4M37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402328 | PA      | $381523.24    | 0.02%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                  | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1547856 | PA      | $1172547.73   | 0.05%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                        | ARES CLO 2019-54A A 3ML+132 10/15/2032 144A                                                       | CUSIP: 04017WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1676859 | PA      | $1644723.67   | 0.07%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STR TR I                                                                   | PINE STR TR I 4.572% 02/15/2029 144A                                                              | CUSIP: 722844AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1618329.14   | 0.07%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2757760 | PA      | $2516649.67   | 0.10%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $122.03       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL9337                                                                  | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7178 | PA      | $6538.08      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0286                                                                    | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5502165 | PA      | $4514252.65   | 0.18%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.59% 9/36 #893081                                                                       | CUSIP: 31410PFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12793 | PA      | $12821.92     | 0.00%             | 2036-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                      | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                          | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    885205 | PA      | $868205.52    | 0.04%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2051#MA7767                                                                    | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92337 | PA      | $80094.13     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                  | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7543 | PA      | $7053.41      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90605 | PA      | $93713.23     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2049#CA4406                                                                    | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337448 | PA      | $302180.55    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                  | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55684 | PA      | $51846.74     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2349                                                                    | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3222930 | PA      | $2646268.08   | 0.11%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CA ST BUILD AMERICA BONDS                                                                         | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    245000 | PA      | $299064.59    | 0.01%             | 2039-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   1323000 | PA      | $1044270.68   | 0.04%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#AS9968                                                                    | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138997 | PA      | $133655.80    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/47#MA4587                                                                           | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86753 | PA      | $83342.42     | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.3% 07/15/2025 144A                                                                     | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2635000 | PA      | $2484543.16   | 0.10%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    242000 | PA      | $217645.93    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2034#G16829                                                                    | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180375 | PA      | $170930.60    | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 07/01/2032#J37270                                                                    | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13565 | PA      | $12892.67     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                  | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90742 | PA      | $84907.83     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3% 2/1/43 #Q15788                                                                            | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26179 | PA      | $23841.65     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   2624000 | PA      | $2275776.39   | 0.09%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                     | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $939743.30    | 0.04%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.5% 04/15/2024                                                                | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    387000 | PA      | $381490.77    | 0.02%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                      | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   3072000 | PA      | $2868336.14   | 0.12%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AL2996                                                                         | CUSIP: 36183YKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6030 | PA      | $5488.29      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97151                                                                           | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11041 | PA      | $10950.39     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.224% 03/15/2032                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1663965.83   | 0.07%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #303505                                                                           | CUSIP: 31373UDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $95.12        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2045#AY0364                                                                  | CUSIP: 3138YDMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31839 | PA      | $31513.34     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/40 #727841                                                                           | CUSIP: 3620AES68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45049 | PA      | $43312.57     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                            | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2134519.49   | 0.09%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#QA3907                                                                    | CUSIP: 31339UKU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5969 | PA      | $5317.09      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14985 | PA      | $14012.41     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4% 01/01/2053 #TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3850000 | PA      | $3614185.58   | 0.15%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #251298                                                                          | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $25.22        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #749953                                                                          | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8118 | PA      | $7798.24      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q40165                                                                    | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27830 | PA      | $25101.77     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2051#CB1384                                                                  | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488571 | PA      | $417396.08    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                       | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267000 | PA      | $255625.05    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 7/40 #A92914                                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10636 | PA      | $10760.12     | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AM8979                                                                    | CUSIP: 36185B6Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5810 | PA      | $5287.97      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910082 | PA      | $1613088.34   | 0.07%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                              | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6522000 | PA      | $6127557.92   | 0.25%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | ILLINOIS ST TXBL                                                                                  | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1475000 | PA      | $1415614.88   | 0.06%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                        | QATAR ST 4.4% 04/16/2050 144A                                                                     | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   2181000 | PA      | $1985118.94   | 0.08%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1945000 | PA      | $1406183.32   | 0.06%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/29 #323542                                                                           | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9928 | PA      | $10248.45     | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 09/45#MA3106                                                                         | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2455 | PA      | $2378.14      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    827000 | PA      | $757150.53    | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2049#CA4557                                                                  | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1858457 | PA      | $1722978.57   | 0.07%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                    | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1033220.42   | 0.04%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/45#AZ0560                                                                         | CUSIP: 3138YRTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40990 | PA      | $39491.69     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.50% 8/26 #G00529                                                                           | CUSIP: 31283GSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $35.68        | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                          | PPGLP 2000-C1 A2 7.75% 7/28                                                                       | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    916021 | PA      | $934902.11    | 0.04%             | 2028-07-20      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AD8812                                                                      | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221354 | PA      | $200300.14    | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                  | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8343 | PA      | $8063.67      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/41 #AJ3402                                                                          | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12509 | PA      | $12424.42     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                  | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493991 | PA      | $460565.33    | 0.02%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 07/31#BC1465                                                                       | CUSIP: 3140EVTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3182781 | PA      | $2983517.08   | 0.12%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.21% 5/36 #872503                                                                       | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17174 | PA      | $17331.43     | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/32#BJ6650                                                                         | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17967 | PA      | $17061.92     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/27 #250932                                                                           | CUSIP: 31371FVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       384 | PA      | $397.31       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1175000 | PA      | $1072775.00   | 0.04%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24936 | PA      | $24109.11     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719228                                                                           | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25859 | PA      | $25453.53     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4800000 | PA      | $4657542.72   | 0.19%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                  | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10335 | PA      | $9403.61      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 6/46#V82414                                                                          | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391271 | PA      | $352911.97    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                                | ARES LIX CLO LTD 2021-59A A 3ML+103 04/25/2034 144A                                               | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1039487 | PA      | $1007701.57   | 0.04%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/40 #004800                                                                        | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172876 | PA      | $166689.13    | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                  | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426090 | PA      | $398693.76    | 0.02%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8400000 | PA      | $7695187.92   | 0.31%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Securities Lending Cash Central Fund                                                     | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  53223346 | NS      | $53228668.76  | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/31 #550867                                                                           | CUSIP: 36213C6C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3080 | PA      | $3214.97      | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2048#Q56870                                                                  | CUSIP: 3132Y0T42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9786 | PA      | $9009.82      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/01/2053 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46100000 | PA      | $38676517.00  | 1.58%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #464690                                                                           | CUSIP: 36208YF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1124 | PA      | $1154.49      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                  | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17773 | PA      | $17524.49     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 02/01/2038 #TBA                                                                    | CUSIP: 01F012429<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9800000 | PA      | $8519569.24   | 0.35%             | 2038-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                     | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1562195 | PA      | $1357741.17   | 0.06%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP                                   | RETAIL OPPTY INVTS PRTNRSHP LP 4% 12/15/2024                                                      | CUSIP: 76132FAB3<br>LEI: 549300KH0PNTJK9NTE57 | Long             | DBT              | CORP              | US        |    300000 | PA      | $286752.66    | 0.01%             | 2024-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #567624                                                                           | CUSIP: 36213XSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11305 | PA      | $11878.89     | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2052#SD1924                                                                    | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2344212 | PA      | $2342842.66   | 0.10%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2049#QA5521                                                                    | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9562 | PA      | $8518.11      | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 12/28 #490998                                                                          | CUSIP: 36210FNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       279 | PA      | $286.44       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34653                                                                    | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38852 | PA      | $37060.56     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727221                                                                  | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19629 | PA      | $19383.67     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 4.375% 01/12/2026                                                            | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1908000 | PA      | $1846354.22   | 0.08%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 01/15/2045#AI6880                                                                  | CUSIP: 36198TUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6016 | PA      | $5480.01      | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                    | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292213 | PA      | $278669.59    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2738000 | PA      | $2502082.48   | 0.10%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A                                                 | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1170000 | PA      | $1146693.67   | 0.05%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 3.875% 01/15/2026                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   3822000 | PA      | $3502675.38   | 0.14%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.464% 5/1/41#1B8304                                                                     | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18280 | PA      | $18461.14     | 0.00%             | 2041-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                  | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                            | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1029273 | PA      | $973755.53    | 0.04%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 03/15/2045#AL5244                                                                  | CUSIP: 36184BZH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2759 | PA      | $2513.43      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LTD                                                     | PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A                                                  | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   1871000 | PA      | $1846601.28   | 0.08%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #710776                                                                           | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16147 | PA      | $16191.91     | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2045#AZ1783                                                                  | CUSIP: 3138YS6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121592 | PA      | $117147.51    | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #471698                                                                           | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5981 | PA      | $6112.97      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2044#AX1002                                                                  | CUSIP: 3138Y2DG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51160 | PA      | $50636.06     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 2.4% 02/01/2031                                                                      | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1166000 | PA      | $929033.46    | 0.04%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2045#Q38812                                                                    | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33416 | PA      | $32203.34     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3336634 | PA      | $3214986.61   | 0.13%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/28 #471672                                                                           | CUSIP: 36209G6H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56 | PA      | $57.10        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/48#CA1545                                                                         | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56465 | PA      | $54136.17     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030                                                  | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1634702.12   | 0.07%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2042#733816                                                                    | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21449 | PA      | $20573.48     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                                              | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2051000 | PA      | $2003900.51   | 0.08%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 5/29 #458552                                                                           | CUSIP: 36208RL93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       862 | PA      | $866.51       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                  | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80866 | PA      | $78192.67     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 11/40 #734032                                                                          | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4604 | PA      | $4626.68      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2043#AT3665                                                                  | CUSIP: 3138WRCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36823 | PA      | $33469.14     | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                  | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103189 | PA      | $101964.58    | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/28 #442336                                                                           | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       548 | PA      | $563.49       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A                                                | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476425 | PA      | $453276.09    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $455637.77    | 0.02%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #563599                                                                           | CUSIP: 36213TDC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        94 | PA      | $98.27        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #440301                                                                           | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       255 | PA      | $262.94       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18680                                                                  | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104092 | PA      | $97010.42     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.58% 7/35 #995273                                                                       | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1732 | PA      | $1735.59      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2032#C91403                                                                  | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414951 | PA      | $397860.12    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668848 | PA      | $576844.01    | 0.02%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                  | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649162 | PA      | $639324.44    | 0.03%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                  | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115085 | PA      | $94541.71     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 12/01/2052#CB5273                                                                    | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549674 | PA      | $549352.55    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/15/2045#AK8998                                                                    | CUSIP: 36183S7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4747 | PA      | $4321.00      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.45% 04/01/2062                                                                    | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2720000 | PA      | $2114518.43   | 0.09%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2647000 | PA      | $2098549.78   | 0.09%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                  | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14646 | PA      | $14160.75     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                  | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4306 | PA      | $4162.75      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17312 | PA      | $17514.70     | 0.00%             | 2042-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                  | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10314 | PA      | $9971.56      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 4.5% 01/23/2026                                                               | CUSIP: 71654QBW1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1632000 | PA      | $1480224.00   | 0.06%             | 2026-01-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/27 #251335                                                                          | CUSIP: 31371GEG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $179.85       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 06/01/2045#AY8494                                                                  | CUSIP: 3138YNNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5172 | PA      | $4986.39      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2035#AB0067                                                                    | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20924 | PA      | $21000.46     | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                      | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                      | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1105955.51   | 0.05%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                  | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12469 | PA      | $11360.88     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 9/40#V81958                                                                        | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27194 | PA      | $25428.30     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/23 #050946                                                                          | CUSIP: 313615TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $51.90        | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.30% 12/35 #850837                                                                      | CUSIP: 31408GHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6907 | PA      | $6954.54      | 0.00%             | 2035-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 5/33 #G01785                                                                           | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20457 | PA      | $21030.02     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC0532                                                                    | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38681 | PA      | $37242.50     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/34#FM0045                                                                         | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216136 | PA      | $204504.19    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 2/41 #004945                                                                        | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7294 | PA      | $7032.02      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                           | FIRST CITIZENS BANK and TRUST CO 3.929/VAR 06/19/2024                                             | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    512000 | PA      | $507550.83    | 0.02%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025 | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1184000 | PA      | $1160439.56   | 0.05%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 11/15/2040#749947                                                                  | CUSIP: 3620C6EU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3207 | PA      | $3076.37      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | NATWEST MARKETS PLC 2.375% 05/21/2023 144A                                                        | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   2667000 | PA      | $2633028.77   | 0.11%             | 2023-05-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORP                                                            | THOMSON REUTERS CORP 3.85% 09/29/2024                                                             | CUSIP: 884903BT1<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    317000 | PA      | $306935.49    | 0.01%             | 2024-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 01/23/2029                                                               | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1705000 | PA      | $1455831.30   | 0.06%             | 2029-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/46#MA3664                                                                           | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621584 | PA      | $600837.36    | 0.02%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                  | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416322 | PA      | $378795.48    | 0.02%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2347                                                                    | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753742 | PA      | $620056.85    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4300000 | PA      | $-3910646.18  | -0.16%            | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA 2020                                                                       | VOYA 2020 3ML+115 07/16/2034 144A                                                                 | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1289773 | PA      | $1257114.66   | 0.05%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21568 | PA      | $18268.57     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                  | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27160 | PA      | $26899.12     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                         | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3922000 | PA      | $3769041.25   | 0.15%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2051#RA6485                                                                    | CUSIP: 3133KNF24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1001205 | PA      | $880062.54    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                | COMCAST CORP NEW 3.9% 03/01/2038                                                                  | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    329000 | PA      | $283520.65    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                         | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    419000 | PA      | $389987.45    | 0.02%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                       | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4134000 | PA      | $3889319.78   | 0.16%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/45#Q34074                                                                       | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7766 | PA      | $7266.33      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP                            | COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP 3ML+131 01/20/2034 144A                      | CUSIP: 19736WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2729841 | PA      | $2672598.96   | 0.11%             | 2034-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 4.4% 06/15/2024                                                              | CUSIP: 529043AD3<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    442000 | PA      | $429407.60    | 0.02%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121581 | PA      | $99422.95     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 1.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12875000 | PA      | $9937116.84   | 0.41%             | 2053-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 09/15/2040#783095                                                                  | CUSIP: 36241LNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8030 | PA      | $7710.53      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.6% 04/01/2040                                                                       | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1797000 | PA      | $1318298.73   | 0.05%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/45#G60179                                                                         | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13654 | PA      | $13180.19     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                  | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5555 | PA      | $5366.02      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                  | WALT DISNEY CO 4.7% 03/23/2050                                                                    | CUSIP: 254687FS0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   2229000 | PA      | $2046120.16   | 0.08%             | 2050-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 03/01/2045#AL6541                                                                  | CUSIP: 3138EPHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668627 | PA      | $646484.27    | 0.03%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                  | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37424 | PA      | $34050.87     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/01/46#AS7188                                                                      | CUSIP: 3138WG7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61158 | PA      | $58827.17     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2032                                                                       | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52575000 | PA      | $48451148.44  | 1.98%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                  | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28893 | PA      | $26288.98     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #713686                                                                           | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10961 | PA      | $10823.55     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                              | STORE CAP CORP 4.625% 03/15/2029                                                                  | CUSIP: 862121AB6<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    550000 | PA      | $492721.63    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $921535.93    | 0.04%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/45#BA6404                                                                         | CUSIP: 3140EBDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12908 | PA      | $12428.19     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.7% 04/15/2050                                                                       | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    238000 | PA      | $207314.08    | 0.01%             | 2050-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                     | NAKILAT INC 6.067% 12/31/2033 144A                                                                | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    494958 | PA      | $508661.81    | 0.02%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                  | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490985 | PA      | $446728.84    | 0.02%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                  | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44170 | PA      | $41330.37     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/46#BC2843                                                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291060 | PA      | $281239.01    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/41 #AI7910                                                                           | CUSIP: 3138AMYG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16481 | PA      | $16330.16     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                  | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32131 | PA      | $29076.65     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02592                                                                           | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40676 | PA      | $40354.28     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                       | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $899088.18    | 0.04%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1254509.92   | 0.05%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8.5% 01/01/2028#                                                                        | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       448 | PA      | $465.20       | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 01/46#MA3377                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2937 | PA      | $2839.05      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A                                                     | CUSIP: 80413TAT6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    966000 | PA      | $877731.75    | 0.04%             | 2030-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                 | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005446 | PA      | $936250.54    | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 3/41 #A97528                                                                           | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12392 | PA      | $12293.45     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #534007                                                                           | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4942 | PA      | $5193.13      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                     | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    234000 | PA      | $181374.37    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    666261 | PA      | $493816.94    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.25% 04/30/2024                                                                        | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17808000 | PA      | $17243152.50  | 0.70%             | 2024-04-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AB9814                                                                  | CUSIP: 31417G3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26270 | PA      | $23877.53     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4428                                                                          | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18332 | PA      | $17744.99     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.55% 06/24/2024                                                                 | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   4091000 | PA      | $4046230.63   | 0.17%             | 2024-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AL7619                                                                    | CUSIP: 3138EQPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148691 | PA      | $143255.49    | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.0% 8/45#Q35578                                                                             | CUSIP: 3132QSFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13750 | PA      | $12474.62     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                      | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   3531000 | PA      | $3209944.60   | 0.13%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/42#G60488                                                                         | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936570 | PA      | $907119.37    | 0.04%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/24 #282104                                                                           | CUSIP: 31372TKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112 | PA      | $112.65       | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/20/2047#MA4452                                                                      | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60056 | PA      | $57751.22     | 0.00%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A                            | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470207 | PA      | $405524.48    | 0.02%             | 2033-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                       | CRPT 2021-RETL D 1ML+295 07/15/2034 144A                                                          | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352500 | PA      | $343186.35    | 0.01%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.625% 07/31/2029                                                                       | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11300000 | PA      | $10405269.50  | 0.42%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                  | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1419975 | PA      | $1374239.03   | 0.06%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 10/42 #Q11886                                                                          | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85934 | PA      | $80471.30     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2032#G18654                                                                  | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11541 | PA      | $10780.74     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 10/01/2041#                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22594 | PA      | $19080.66     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.75% 03/15/2039                                                       | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    560000 | PA      | $514575.63    | 0.02%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -20700000 | PA      | $-17931234.24 | -0.73%            | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2040#V81792                                                                  | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73871 | PA      | $69075.29     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/28 #436662                                                                           | CUSIP: 31380DB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1348 | PA      | $1379.84      | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005446 | PA      | $953556.28    | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                  | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16378 | PA      | $14902.15     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5733                                                                         | CUSIP: 36186NLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3147 | PA      | $2864.77      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2045#AS6020                                                                    | CUSIP: 3138WFVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127843 | PA      | $123169.52    | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/29 #252492                                                                           | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       407 | PA      | $426.64       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1073000 | PA      | $918122.28    | 0.04%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.755% 03/15/2027 144A                                                             | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1357000 | PA      | $1222018.48   | 0.05%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                  | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48429 | PA      | $44063.54     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#MA3312                                                                    | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282937 | PA      | $268329.96    | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                   | SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A                                         | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2177375 | PA      | $2114882.16   | 0.09%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC 2.875% 04/15/2030                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    220000 | PA      | $190063.79    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/20/2045#MA3311                                                                      | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3480 | PA      | $3371.66      | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 08/01/2032#J37452                                                                    | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12737 | PA      | $12106.13     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #748242                                                                          | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7178 | PA      | $6884.25      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                  | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3366667 | PA      | $2899882.39   | 0.12%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 4/42 #G06993                                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32117 | PA      | $30100.33     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#V82292                                                                    | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73016 | PA      | $70366.48     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2048#Q55500                                                                  | CUSIP: 3132XYDE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86393 | PA      | $84967.98     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 02/01/2053 #TBA                                                                        | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7550000 | PA      | $6728441.47   | 0.27%             | 2053-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#BE6903                                                                  | CUSIP: 3140FSU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68554 | PA      | $63829.88     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 12/25 #418624                                                                          | CUSIP: 36206RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       280 | PA      | $284.13       | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 6/27 #443920                                                                           | CUSIP: 36207WDZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119 | PA      | $121.76       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1112000 | PA      | $1126765.08   | 0.05%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 4.2% 06/10/2024                                                                 | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   2732000 | PA      | $2637365.54   | 0.11%             | 2024-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2044#AX3008                                                                    | CUSIP: 3138Y4KW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3342 | PA      | $3225.31      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025                                                    | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   2432000 | PA      | $2289484.80   | 0.09%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 04/20/2047#MA4383                                                                      | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405706 | PA      | $390136.40    | 0.02%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#AS7009                                                                  | CUSIP: 3138WGYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407012 | PA      | $379472.17    | 0.02%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                              | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   2656000 | PA      | $2634943.42   | 0.11%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                               | DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A                                                      | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1361000 | PA      | $1314214.26   | 0.05%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/28 #323327                                                                          | CUSIP: 31374TD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       584 | PA      | $602.79       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10500000 | PA      | $9647190.00   | 0.39%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                     | COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025                                                       | CUSIP: 198280AF6<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |    410000 | PA      | $403732.43    | 0.02%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.31% 2/36 #822116                                                                       | CUSIP: 31406WK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6906 | PA      | $6925.77      | 0.00%             | 2036-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                       | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                                 | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2529561 | PA      | $2472145.02   | 0.10%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 3.45% 03/25/2030                                                                     | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1064000 | PA      | $989460.17    | 0.04%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 2/41 #738002                                                                           | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6824 | PA      | $6552.55      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1066000 | PA      | $878478.69    | 0.04%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#CA6275                                                                    | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178439 | PA      | $147348.24    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                    | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   3472000 | PA      | $3551387.35   | 0.14%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.55% 04/17/2026                                                             | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    790000 | PA      | $696758.73    | 0.03%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/28 #457257                                                                          | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       611 | PA      | $624.26       | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/39 #AB0042                                                                           | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148111 | PA      | $1134048.81   | 0.05%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#AZ7012                                                                    | CUSIP: 3138YYYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121037 | PA      | $116612.23    | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 9/30 #479580                                                                           | CUSIP: 36209RXH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       878 | PA      | $928.76       | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                         | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1269479.36   | 0.05%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 3.05% 03/15/2032                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1749045.73   | 0.07%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AA6146                                                                      | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513518 | PA      | $464675.95    | 0.02%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726923                                                                           | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21723 | PA      | $21449.57     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/32 #553440                                                                           | CUSIP: 36213FZD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1488 | PA      | $1543.47      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 01/20/2050#BR8993                                                                    | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265751 | PA      | $245307.04    | 0.01%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/23 #050930                                                                          | CUSIP: 313615ST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.09        | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #303884                                                                           | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237 | PA      | $241.47       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                  | CSMC 2019-ICE4 B 1ML+123 05/15/2036 144A                                                          | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1267208.15   | 0.05%             | 2036-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#AS7594                                                                  | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75399 | PA      | $70273.66     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A                                                      | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333761 | PA      | $317217.92    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                             | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    373000 | PA      | $336693.05    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/32 #565960                                                                           | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1310 | PA      | $1370.51      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.375% 12/31/2025                                                                       | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17431400 | PA      | $15578632.88  | 0.64%             | 2025-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267196 | PA      | $264743.02    | 0.01%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.622/VAR 04/01/2031                                                               | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3078000 | PA      | $2687104.83   | 0.11%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2048#Q55839                                                                  | CUSIP: 3132XYPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69045 | PA      | $67714.63     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 5.85% 07/15/2025                                                               | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    397000 | PA      | $401220.21    | 0.02%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.875% 07/03/2023                                                                  | CUSIP: 00912XBC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1712000 | PA      | $1696538.77   | 0.07%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 06/45#AN5715                                                                         | CUSIP: 36186NK40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2869 | PA      | $2611.62      | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96876                                                                           | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13337 | PA      | $13231.52     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/26 #331637                                                                           | CUSIP: 31375DLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $161.79       | 0.00%             | 2026-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #723228                                                                          | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6782 | PA      | $6798.82      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934579 | PA      | $828872.39    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2032#G18669                                                                  | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538255 | PA      | $502812.41    | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2282000 | PA      | $2045485.99   | 0.08%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 9/42 #Q11420                                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8214 | PA      | $7679.67      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.25% 03/14/2024                                                                | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    675000 | PA      | $663018.28    | 0.03%             | 2024-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUVEEN FINANCE LLC                                                              | NUVEEN FINANCE LLC 4.125% 11/01/2024 144A                                                         | CUSIP: 87246YAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    543000 | PA      | $528551.90    | 0.02%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 12/25 #780453                                                                          | CUSIP: 36225AQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        82 | PA      | $83.35        | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2051#RA6076                                                                    | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616327 | PA      | $1326621.25   | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2051#FM9973                                                                    | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557298 | PA      | $495309.11    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1433000 | PA      | $1305671.54   | 0.05%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024                               | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3388000 | PA      | $3125092.18   | 0.13%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6% 06/15/2048                                                                  | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    451000 | PA      | $406552.97    | 0.02%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    283000 | PA      | $207185.59    | 0.01%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                 | BANK 2018-BNK10 3.688% 02/15/2061                                                                 | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118089 | PA      | $110177.66    | 0.00%             | 2061-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026                                                   | CUSIP: 681936BH2<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1744000 | PA      | $1707736.94   | 0.07%             | 2026-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2045#AY3020                                                                  | CUSIP: 3138YGLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44895 | PA      | $43282.01     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130551 | PA      | $125280.28    | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024                                                    | CUSIP: 72650RBF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    426000 | PA      | $411864.16    | 0.02%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 9/27 #453633                                                                           | CUSIP: 36208K4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1524 | PA      | $1576.58      | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124807 | PA      | $102061.02    | 0.00%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    560000 | PA      | $469586.88    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6312                                                                    | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137056 | PA      | $1015377.34   | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9066 | PA      | $9459.72      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00736                                                                           | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18057 | PA      | $17905.86     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34598                                                                    | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9020 | PA      | $8604.09      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783276                                                                           | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3532 | PA      | $3477.17      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.95% 04/21/2025                                                      | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1231108.16   | 0.05%             | 2025-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK8237                                                                           | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146357 | PA      | $141535.50    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#Q39899                                                                    | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14490 | PA      | $13964.15     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027 REGS                                               | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   4967000 | PA      | $4651278.31   | 0.19%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2044#Q25336                                                                  | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22803 | PA      | $22604.72     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                               | DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A                                                         | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   1582694 | PA      | $1556913.50   | 0.06%             | 2032-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027 144A                           | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4189000 | PA      | $3664202.08   | 0.15%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2052#QE8223                                                                    | CUSIP: 3133BJD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1785892 | PA      | $1569804.60   | 0.06%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/31 #564604                                                                           | CUSIP: 36213UGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       178 | PA      | $184.36       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE0504                                                                          | CUSIP: 31419AR25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120700 | PA      | $119593.46    | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 1ML+185 10/15/2036 144A                                                             | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2018196 | PA      | $1947688.11   | 0.08%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1652514.98   | 0.07%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #709061                                                                          | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7790 | PA      | $7479.03      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.75% 05/15/2046                                                                     | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4816000 | PA      | $4071514.40   | 0.17%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    414000 | PA      | $350681.76    | 0.01%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 1/28 #458374                                                                           | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53 | PA      | $53.82        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/40 #733601                                                                           | CUSIP: 3620AMAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1930 | PA      | $1937.35      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2040#                                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18132 | PA      | $15403.57     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/01/2047#Q50433                                                                    | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11811 | PA      | $11352.67     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                      | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4747665.60   | 0.19%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2052#QD7947                                                                    | CUSIP: 3133B5ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199408 | PA      | $175404.92    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766729 | PA      | $1363049.80   | 0.06%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 7/25 #307018                                                                           | CUSIP: 31373YAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       302 | PA      | $305.81       | 0.00%             | 2025-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                            | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198757 | PA      | $182539.96    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2648000 | PA      | $2520677.12   | 0.10%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/01/2053 #TBA                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15200000 | PA      | $13538282.80  | 0.55%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3% 07/45#AK8997                                                                         | CUSIP: 36183S7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1632 | PA      | $1485.59      | 0.00%             | 2045-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 6/41 #AB3143                                                                           | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37778 | PA      | $36584.83     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 3.875% 11/05/2025                                                                      | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   1491000 | PA      | $1423756.03   | 0.06%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1532962 | PA      | $1306286.58   | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/32 #552668                                                                           | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       692 | PA      | $727.13       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/26 #303913                                                                           | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       625 | PA      | $636.71       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 12/27 #417005                                                                          | CUSIP: 36206PGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       664 | PA      | $689.16       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 1.884% 07/15/2050 144A                                                               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    733000 | PA      | $645291.64    | 0.03%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.5% 02/15/2041 144A                                                                 | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3505000 | PA      | $2488668.43   | 0.10%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 04/01/2043#AB9247                                                                  | CUSIP: 31417GHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78611 | PA      | $71353.22     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1335000 | PA      | $1291523.32   | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 2.75% 03/15/2027                                                                      | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    449000 | PA      | $411770.91    | 0.02%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.3% 03/04/2024                                                                  | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1671000 | PA      | $1650788.00   | 0.07%             | 2024-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #449564                                                                           | CUSIP: 36208FMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       734 | PA      | $755.22       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5.00% 3/23 #889342                                                                      | CUSIP: 31410KBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $12.72        | 0.00%             | 2023-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2046#G60553                                                                  | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302184 | PA      | $282565.20    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 4/29 #323645                                                                           | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $67.70        | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                       | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    760000 | PA      | $744741.54    | 0.03%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                     | IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A                                                 | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   4751000 | PA      | $4537256.55   | 0.19%             | 2025-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/31 #547493                                                                           | CUSIP: 36212YGA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1423 | PA      | $1466.65      | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BH0561                                                                  | CUSIP: 3140GNTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52046 | PA      | $51187.81     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2047#Q51189                                                                    | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24432 | PA      | $23484.45     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/41 #G06596                                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139335 | PA      | $141159.41    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34571                                                                    | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13206 | PA      | $12597.37     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/29 #480551                                                                           | CUSIP: 36209SZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       813 | PA      | $835.89       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/46#Q38783                                                                         | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92139 | PA      | $88795.41     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #343282                                                                           | CUSIP: 31375SJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141 | PA      | $144.09       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 01/01/2053 #TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $887484.78    | 0.04%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/28 #323424                                                                          | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51 | PA      | $52.57        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2041#                                                                        | CUSIP: 3132GKK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6069 | PA      | $6033.06      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34164 | PA      | $31946.10     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.875% 03/26/2025                                                                   | CUSIP: 172967JL6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2914000 | PA      | $2833185.48   | 0.12%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $134.17       | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1432579.97   | 0.06%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MTG TR                                                        | BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052                                            | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2882896 | PA      | $2754797.11   | 0.11%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1364178.90   | 0.06%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726949                                                                           | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53754 | PA      | $53079.02     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/34 #AL2130                                                                          | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21340 | PA      | $22100.32     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                  | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10751 | PA      | $9742.89      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47211 | PA      | $47770.32     | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                  | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56910 | PA      | $53357.67     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer