# EDGAR Filing Document

**Accession Number:** 0000814679
**File Stem:** 0001752724-23-035896
**Filing Date:** 2023-2
**Character Count:** 728124
**Document Hash:** bb6bc0f23bb4cf4a70beb43aa4414640
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035896.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035896

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVANCED SERIES TRUST
- **CENTRAL INDEX KEY:** 0000814679
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05186
- **FILM NUMBER:** 23657600

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 367-8982

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN SKANDIA TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON INTERNATIONAL GROWTH FUND
- **DATE OF NAME CHANGE:** 19920506

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON GLOBAL ASSET TRUST
- **DATE OF NAME CHANGE:** 19900302

## Series and Classes Contracts Data

### AST T. Rowe Price Fixed Income Central Portfolio (Series ID: S000079426)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000240448 | AST T. Rowe Price Fixed Income Central Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Advanced Series Trust

- **b. Investment Company Act file number:** 811-05186

- **c. CIK number of Registrant:** 0000814679

- **d. LEI of Registrant:** 549300VWSUPW8FKG9V43

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-888-778-2888

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

- **a. Name of Series:** AST T. Rowe Price Fixed Income Central Portfolio

- **b. EDGAR series identifier (if any):** S000079426

- **c. LEI of Series:** 549300UXMVCYEUVLSH34

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2129001786.13

**Total Liabilities:** $104881014.99

**Net Assets:** $2024120771.14

**Stand-by Commitments:** $31955343.07

**Cash Not Reported:** $92445972.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 209.36415000 | **1-Year:** 59335.76109000 | **5-Year:** 468748.87366000 | **10-Year:** 241360.89623000 | **30-Year:** 15120.28201000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000240448 | -0.10%               | 3.70%                | -0.77%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11296.10                | $-3986161.15                               |
| Month 2  | $3366012.22              | $62005333.87                               |
| Month 3  | $8134838.11              | $-31730070.59                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     80697 | PA      | $73111.09     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-3                                                 | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550453 | PA      | $485573.71    | 0.02%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3673350.95   | 0.18%             | 2027-03-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-G                                | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119339 | PA      | $1024763.92   | 0.05%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4679 | PA      | $4644.68      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25371 | PA      | $24556.25     | 0.00%             | 2031-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35318 | PA      | $32689.42     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3009 | PA      | $3026.12      | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $961055.95    | 0.05%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7238488 | PA      | $7023006.86   | 0.35%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111363 | PA      | $99796.25     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2110000 | PA      | $1767172.90   | 0.09%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396219 | PA      | $368351.41    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                        | Parker-Hannifin Corp                                                            | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    850000 | PA      | $817427.15    | 0.04%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26696 | PA      | $21926.82     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3539 | PA      | $3611.75      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239659 | PA      | $230159.56    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PGIM Institutional Money Market Fund - D    | PGIM Institutional Money Market Fund - D                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  35176577 | NS      | $35162506.56  | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404412 | PA      | $377681.02    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4621831 | PA      | $3895858.36   | 0.19%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    645000 | PA      | $600585.75    | 0.03%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4843 | PA      | $4786.98      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7YH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338135 | PA      | $349543.17    | 0.02%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111703 | PA      | $1885615.24   | 0.09%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416YDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221704 | PA      | $224505.01    | 0.01%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64529 | PA      | $57466.98     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354319 | PA      | $290570.55    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216698 | PA      | $194746.66    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1844 | PA      | $1688.52      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $802827.17    | 0.04%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435306 | PA      | $407469.22    | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $592312.50    | 0.03%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $765969.00    | 0.04%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                      | NXP BV / NXP Funding LLC                                                        | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1220000 | PA      | $1216187.50   | 0.06%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699198 | PA      | $628158.63    | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    860000 | PA      | $794190.31    | 0.04%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2050000 | PA      | $1909041.80   | 0.09%             | 2026-01-30      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69803 | PA      | $70764.95     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51209 | PA      | $51855.56     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25702 | PA      | $26832.61     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                        | Woodside Finance Ltd                                                            | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   3335000 | PA      | $3196866.63   | 0.16%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12110000 | PA      | $10857371.88  | 0.54%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18877 | PA      | $19276.76     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125729 | PA      | $127316.33    | 0.01%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30461 | PA      | $30266.86     | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AM4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142223 | PA      | $120747.57    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BRQH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66497 | PA      | $64155.83     | 0.00%             | 2025-06-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.06         | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1674 | PA      | $1648.04      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34559 | PA      | $33188.82     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $479828.13    | 0.02%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98013 | PA      | $96056.50     | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7251 | PA      | $6708.28      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62120 | PA      | $55963.38     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266322 | PA      | $1134751.20   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15241 | PA      | $15466.38     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH REVENUES              | New York State Dormitory Authority                                              | CUSIP: 64990CER8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    375000 | PA      | $296381.29    | 0.01%             | 2046-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    832462 | PA      | $765386.05    | 0.04%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6TA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618694 | PA      | $626489.51    | 0.03%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BFX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162158 | PA      | $137569.03    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-INV                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807237 | PA      | $745134.17    | 0.04%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22864 | PA      | $22460.52     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432655 | PA      | $1318009.89   | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1158235.00   | 0.06%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9JF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166468 | PA      | $155721.78    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475AZ8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $594846.07    | 0.03%             | 2030-01-22      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86449 | PA      | $81895.55     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    580000 | PA      | $596913.32    | 0.03%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325BQ7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $195100.00    | 0.01%             | 2024-02-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV2                                                    | CUSIP: 90354TAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1757066 | PA      | $1342301.76   | 0.07%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare I              | BRE Grand Islander Timeshare Issuer 2019-A LLC                                  | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71629 | PA      | $67272.80     | 0.00%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6151 | PA      | $6086.45      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AK98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22059 | PA      | $20789.07     | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15416 | PA      | $15144.11     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1645000 | PA      | $1633401.11   | 0.08%             | 2024-05-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970753 | PA      | $934394.31    | 0.05%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   3375000 | PA      | $3192589.15   | 0.16%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    560000 | PA      | $520109.55    | 0.03%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAK6<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   3320000 | PA      | $3187911.48   | 0.16%             | 2025-06-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103254 | PA      | $93951.42     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                      | Equitable Holdings Inc                                                          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |   5155000 | PA      | $4906170.37   | 0.24%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667935 | PA      | $674337.50    | 0.03%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33514 | PA      | $32211.54     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                               | CUSIP: 36261HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4865351 | PA      | $3716860.82   | 0.18%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344373 | PA      | $343699.23    | 0.02%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51895 | PA      | $48792.63     | 0.00%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95379 | PA      | $94552.29     | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219580 | PA      | $206180.75    | 0.01%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-343254.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62964 | PA      | $62236.68     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3687 | PA      | $3832.53      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                    | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $747312.43    | 0.04%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-5                                                 | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76996 | PA      | $68455.41     | 0.00%             | 2065-05-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23929 | PA      | $22424.74     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                    | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    715000 | PA      | $626268.99    | 0.03%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $5038139.45   | 0.25%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34282 | PA      | $33123.83     | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15765816 | PA      | $15863766.89  | 0.78%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269052 | PA      | $279580.09    | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6383 | PA      | $6651.63      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72406 | PA      | $75964.24     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5239209.15   | 0.26%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78946 | PA      | $75900.64     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9906 | PA      | $10080.65     | 0.00%             | 2042-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285139 | PA      | $274181.27    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1637 | PA      | $1649.73      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20117 | PA      | $21268.83     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1468149 | PA      | $1203589.24   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308460 | PA      | $1095477.92   | 0.05%             | 2050-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1575000 | PA      | $1402036.27   | 0.07%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162906 | PA      | $168932.30    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CGDB Commercial Mortgage Trust              | CGDB Commercial Mortgage Trust 2019-MOB                                         | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $434358.09    | 0.02%             | 2036-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51176 | PA      | $53571.98     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792486 | PA      | $709084.46    | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418VT77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32354 | PA      | $32073.48     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR1                                    | CUSIP: 36262QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730924 | PA      | $1322330.63   | 0.07%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83565 | PA      | $84620.11     | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94176 | PA      | $88159.87     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276158 | PA      | $236895.75    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21268 | PA      | $21107.45     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                       | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $242771.83    | 0.01%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149108 | PA      | $152271.27    | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5527 | PA      | $5703.02      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                               | AIA Group Ltd                                                                   | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   4655000 | PA      | $4367926.15   | 0.22%             | 2028-04-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9833 | PA      | $9477.54      | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $581.28       | 0.00%             | 2036-10-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2240000 | PA      | $1943340.22   | 0.10%             | 2028-01-12      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2021-2                                      | CUSIP: 85573HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93224 | PA      | $84206.17     | 0.00%             | 2065-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180090 | PA      | $2753614.15   | 0.14%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6561302 | PA      | $5572364.11   | 0.28%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2021-1                                                  | CUSIP: 14316NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1235000 | PA      | $1117462.09   | 0.06%             | 2026-12-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54636 | PA      | $56995.41     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194CP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2539 | PA      | $2364.39      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2339776.58   | 0.12%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1354 | PA      | $1366.77      | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5355 | PA      | $5018.32      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV4                                     | CUSIP: 58550NBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5482586 | PA      | $4188394.49   | 0.21%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129604 | PA      | $132354.32    | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3443 | PA      | $3516.04      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1025353 | PA      | $1021974.43   | 0.05%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3775000 | PA      | $3170136.70   | 0.16%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254088 | PA      | $237698.57    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205867 | PA      | $210321.59    | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4243 | PA      | $4386.77      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                    | Citizens Financial Group Inc                                                    | CUSIP: 174610BA2<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     79000 | PA      | $72299.00     | 0.00%             | 2031-02-11      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-1                                                 | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319037 | PA      | $260459.67    | 0.01%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                       | Transurban Finance Co Pty Ltd                                                   | CUSIP: 89400PAE3<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |   2510000 | PA      | $2400145.58   | 0.12%             | 2026-02-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFTM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513643 | PA      | $1335054.41   | 0.07%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust               | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $363765.49    | 0.02%             | 2038-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704558 | PA      | $599659.29    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate               | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $144722.24    | 0.01%             | 2052-05-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114138 | PA      | $114760.71    | 0.01%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11071 | PA      | $10318.98     | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GGC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587414 | PA      | $549282.47    | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5625 | PA      | $5647.38      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2019-4                                               | CUSIP: 92537KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494973 | PA      | $469234.07    | 0.02%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10509 | PA      | $9903.37      | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-NUGS                                        | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $249069.78    | 0.01%             | 2036-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810PX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $244590.63    | 0.01%             | 2038-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $3445938.41   | 0.17%             | 2030-05-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $71531.25     | 0.00%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6159 | PA      | $6129.46      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                         | 522 Funding CLO 2019-5 Ltd                                                      | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   6910000 | PA      | $6645927.44   | 0.33%             | 2035-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B3 Mortgage Trust                                                | CUSIP: 08161BBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395000 | PA      | $1283148.62   | 0.06%             | 2051-04-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14370 | PA      | $13840.60     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-B                                         | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    117155 | PA      | $112148.37    | 0.01%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417HBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147042 | PA      | $137397.62    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259476 | PA      | $243105.70    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8LK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364985 | PA      | $353438.84    | 0.02%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18991 | PA      | $19596.86     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                       | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1885000 | PA      | $1870014.82   | 0.09%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160057 | PA      | $166573.88    | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LQBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54676 | PA      | $44924.81     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $589066.34    | 0.03%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14145 | PA      | $13666.84     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295391 | PA      | $283688.61    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1228698.77   | 0.06%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9146 | PA      | $9301.52      | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C46                                  | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245515 | PA      | $60244.47     | 0.00%             | 2051-08-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1553930.84   | 0.08%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2857 | PA      | $2964.15      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602859 | PA      | $636583.08    | 0.03%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3638793 | PA      | $3502823.53   | 0.17%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1449207.72   | 0.07%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3039 | PA      | $3016.18      | 0.00%             | 2036-08-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4158 | PA      | $3846.38      | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MDB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188311 | PA      | $171340.28    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L              | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   1265438 | PA      | $1100227.04   | 0.05%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                    | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BT8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1011672.04   | 0.05%             | 2029-06-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11407 | PA      | $10689.84     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP3 Trust                                                             | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49492 | PA      | $45635.33     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11320320 | PA      | $10048570.42  | 0.50%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3786351 | PA      | $3830804.05   | 0.19%             | 2042-06-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1565000 | PA      | $1469331.55   | 0.07%             | 2025-12-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GAV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976796 | PA      | $1798645.02   | 0.09%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510749 | PA      | $521571.80    | 0.03%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                  | Fiserv Inc                                                                      | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    710000 | PA      | $639800.99    | 0.03%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1455 | PA      | $1452.17      | 0.00%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33269 | PA      | $31193.04     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1871 | PA      | $1916.84      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141208 | PA      | $144777.28    | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    215000 | PA      | $201938.75    | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15141 | PA      | $15017.68     | 0.00%             | 2037-04-01      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39682 | PA      | $37080.02     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30041 | PA      | $28058.44     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42024 | PA      | $42940.47     | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12750 | PA      | $13146.48     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QBBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2503523 | PA      | $2343972.26   | 0.12%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25307 | PA      | $24737.86     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36184Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46876 | PA      | $43726.94     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC21 Mortgage Trust                                                   | CUSIP: 12593FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $247452.24    | 0.01%             | 2048-07-10      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2018-1                                            | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70765 | PA      | $68212.69     | 0.00%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196741 | PA      | $184241.60    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61469 | PA      | $61004.57     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1075000 | PA      | $1064127.45   | 0.05%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128719 | PA      | $124089.17    | 0.01%             | 2027-02-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    355000 | PA      | $239846.47    | 0.01%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR2                                    | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1777270 | PA      | $1348850.06   | 0.07%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                    | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    820000 | PA      | $811516.08    | 0.04%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7316 | PA      | $7600.82      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                         | LSEGA Financing PLC                                                             | CUSIP: 50220PAE3<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    870000 | PA      | $642565.30    | 0.03%             | 2041-04-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ASLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5948 | PA      | $5896.69      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6S36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173352 | PA      | $159094.47    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GL38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9879 | PA      | $8988.54      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1646088 | PA      | $1582619.36   | 0.08%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52577 | PA      | $53692.57     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141854 | PA      | $127308.79    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-INV1                                                             | CUSIP: 12566PBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2223238 | PA      | $1698431.25   | 0.08%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23081 | PA      | $23336.49     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER                  | Elara HGV Timeshare Issuer 2017-A LLC                                           | CUSIP: 28416DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23494 | PA      | $22487.08     | 0.00%             | 2030-03-25      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                             | MVW 2021-1W LLC                                                                 | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763909 | PA      | $691576.67    | 0.03%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-MEAD                                        | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $490278.41    | 0.02%             | 2036-11-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                             | Invesco CLO Ltd                                                                 | CUSIP: 46149MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3105000 | PA      | $3023112.77   | 0.15%             | 2034-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10014697 | PA      | $8483983.14   | 0.42%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2463 | PA      | $2481.92      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32278 | PA      | $32034.48     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239225 | PA      | $1109445.37   | 0.05%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95044.23     | 0.00%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143486 | PA      | $128920.81    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107312 | PA      | $106382.08    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62230 | PA      | $56242.76     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145580 | PA      | $128672.89    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    945000 | PA      | $733821.33    | 0.04%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10610000 | PA      | $10769828.09  | 0.53%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                    | Banco Bilbao Vizcaya Argentaria SA                                              | CUSIP: 05946KAK7<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   2200000 | PA      | $2198409.84   | 0.11%             | 2026-09-14      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EH3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62803 | PA      | $65260.64     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1218579 | PA      | $229544.82    | 0.01%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7185000 | PA      | $5778311.72   | 0.29%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1800 | PA      | $1764.75      | 0.00%             | 2035-07-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $992682.71    | 0.05%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97999 | PA      | $97464.72     | 0.00%             | 2033-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718263 | PA      | $665505.34    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419GWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13769 | PA      | $13649.52     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F8LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11783 | PA      | $11518.69     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25024 | PA      | $24071.07     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1603 | PA      | $1636.79      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2021-1 Mortgage Loan Trust                                                 | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572135 | PA      | $1267300.95   | 0.06%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680063 | PA      | $649593.04    | 0.03%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142169 | PA      | $129362.99    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417AEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6066 | PA      | $5678.83      | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121938 | PA      | $110960.41    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55421 | PA      | $53375.66     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41582 | PA      | $41444.48     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3126 | PA      | $2925.80      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VINO                                          | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $433203.84    | 0.02%             | 2038-05-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3608 | PA      | $3459.64      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167585 | PA      | $26026.82     | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15170 | PA      | $14906.42     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                                  | PSMC 2021-2 Trust                                                               | CUSIP: 69376CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541345 | PA      | $465493.72    | 0.02%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6985000 | PA      | $6644835.81   | 0.33%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261724 | PA      | $259454.50    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36225B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1983 | PA      | $2028.84      | 0.00%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       857 | PA      | $780.08       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                            | Kilroy Realty LP                                                                | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95746.11     | 0.00%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454377 | PA      | $412610.80    | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910066 | PA      | $830320.45    | 0.04%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    225000 | PA      | $211803.66    | 0.01%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362724 | PA      | $337211.87    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    835000 | PA      | $725344.13    | 0.04%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H070613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1760000 | PA      | $1807626.92   | 0.09%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-1                                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128932 | PA      | $121313.50    | 0.01%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128S4GD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2156 | PA      | $2139.66      | 0.00%             | 2037-02-01      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3910488 | PA      | $3392009.50   | 0.17%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133613 | PA      | $131136.91    | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1082593.05   | 0.05%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191643 | PA      | $178597.47    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    360000 | PA      | $314930.02    | 0.02%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    780000 | PA      | $741066.35    | 0.04%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2045000 | PA      | $1686357.06   | 0.08%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| POCONO MOUNTAINS PA INDL PARK               | Pocono Mountains Industrial Park Authority                                      | CUSIP: 73043PAC4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    130000 | PA      | $114042.38    | 0.01%             | 2049-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2016-C                                         | CUSIP: 78449KAB6<br>LEI: 54930027GONY06ZX8P67 | Long             | ABS-O            | CORP              | US        |    290455 | PA      | $276594.81    | 0.01%             | 2034-09-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2016-B                                         | CUSIP: 78449GAB5<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    482542 | PA      | $461137.32    | 0.02%             | 2032-02-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $321919.79    | 0.02%             | 2033-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4455 | PA      | $4258.60      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056836 | PA      | $1042370.69   | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                         | SG Residential Mortgage Trust 2019-3                                            | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92715 | PA      | $88790.74     | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746414 | PA      | $728904.24    | 0.04%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321823 | PA      | $287856.31    | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2246301.59   | 0.11%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                 | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2876024.90   | 0.14%             | 2049-10-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14814 | PA      | $15066.62     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1696765 | PA      | $1473728.42   | 0.07%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    655000 | PA      | $615162.77    | 0.03%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HDSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2492523 | PA      | $2262870.15   | 0.11%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    190000 | PA      | $169073.08    | 0.01%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QDGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153768 | PA      | $140356.90    | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1059050.94   | 0.05%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162678 | PA      | $145995.39    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35923 | PA      | $35852.71     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340837 | PA      | $324855.11    | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                  | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2578950 | PA      | $2045236.30   | 0.10%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162725 | PA      | $161313.93    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    485000 | PA      | $404230.96    | 0.02%             | 2028-09-22      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359928 | PA      | $340811.24    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   4050000 | PA      | $3576150.00   | 0.18%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18955 | PA      | $18781.17     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171215 | PA      | $153498.10    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33412 | PA      | $31176.84     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5887 | PA      | $6012.16      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4036332 | PA      | $3733840.11   | 0.18%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50820000 | PA      | $42132956.25  | 2.08%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384845 | PA      | $400428.04    | 0.02%             | 2036-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18270 | PA      | $17121.29     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518977 | PA      | $514477.66    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16081 | PA      | $15964.35     | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAYH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27802 | PA      | $26645.95     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1067520.26   | 0.05%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38075000 | PA      | $38836500.00  | 1.92%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2197121 | PA      | $1841317.19   | 0.09%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2019-H1                                           | CUSIP: 36418XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255779 | PA      | $246069.87    | 0.01%             | 2059-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19824 | PA      | $18058.09     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                  | Nucor Corp                                                                      | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    710000 | PA      | $603256.29    | 0.03%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4731 | PA      | $4938.94      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439264 | PA      | $372204.51    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $254593.53    | 0.01%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3237 | PA      | $3358.87      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89181 | PA      | $79898.10     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2455404.52   | 0.12%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                       | Transurban Finance Co Pty Ltd                                                   | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    960000 | PA      | $878197.92    | 0.04%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14254 | PA      | $12834.92     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1257931.96   | 0.06%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2020-III Ltd                                                       | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2720000 | PA      | $2629920.13   | 0.13%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3730 | PA      | $3792.13      | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-LC14                                       | CUSIP: 96221TAH0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |   1003923 | PA      | $8517.68      | 0.00%             | 2047-03-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                                  | PSMC 2021-1 Trust                                                               | CUSIP: 693650AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3898743 | PA      | $3124627.84   | 0.15%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3905000 | PA      | $3213805.16   | 0.16%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6105000 | PA      | $5441081.25   | 0.27%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                      | Discover Financial Services                                                     | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   6705000 | PA      | $6310605.66   | 0.31%             | 2027-02-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        71 | NC      | $-694043.46   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $1910916.63   | 0.09%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5380000 | PA      | $5502259.48   | 0.27%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470503 | PA      | $438744.62    | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58172 | PA      | $55575.35     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ACA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153641 | PA      | $147715.64    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-B                                         | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3688675 | PA      | $3292039.37   | 0.16%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 455780DJ2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   3265000 | PA      | $2963346.65   | 0.15%             | 2032-03-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48513 | PA      | $45958.39     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253303 | PA      | $253272.24    | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CX7<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $1483304.73   | 0.07%             | 2051-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5430000 | PA      | $4797065.63   | 0.24%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77383 | PA      | $76788.71     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                       | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $282616.85    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE7 Mortgage Trust                                                  | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $109054.14    | 0.01%             | 2046-03-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3713 | PA      | $3478.40      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111979 | PA      | $91699.18     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12558926 | PA      | $10252335.75  | 0.51%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    430000 | PA      | $376845.75    | 0.02%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| NBN CO LTD                                  | NBN Co Ltd                                                                      | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   2270000 | PA      | $1807253.46   | 0.09%             | 2031-05-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202D4N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       552 | PA      | $563.07       | 0.00%             | 2034-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    245000 | PA      | $223526.67    | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151546 | PA      | $147247.72    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    831293 | PA      | $828806.01    | 0.04%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                        | Woodside Finance Ltd                                                            | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    190000 | PA      | $177754.12    | 0.01%             | 2029-03-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                  | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1915375 | PA      | $1749530.34   | 0.09%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27376 | PA      | $27138.81     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42245 | PA      | $39588.67     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL              | JPMorgan Chase Bank NA - CACLN                                                  | CUSIP: 48128U2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    622832 | PA      | $592363.57    | 0.03%             | 2028-12-26      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29551 | PA      | $28493.18     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298229 | PA      | $297646.12    | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                    | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    526292 | PA      | $423556.02    | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC27                                   | CUSIP: 17323CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655000 | PA      | $1573149.00   | 0.08%             | 2048-02-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241K4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3245 | PA      | $3286.56      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159954 | PA      | $141830.01    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KQTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29547 | PA      | $26024.56     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704287 | PA      | $577506.15    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128833 | PA      | $120171.70    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4499 | PA      | $4190.16      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GS5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8471 | PA      | $8144.29      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32014 | PA      | $30042.90     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64236 | PA      | $59930.75     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196148 | PA      | $162263.74    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70390 | PA      | $65497.38     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99094 | PA      | $101420.57    | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1528 | PA      | $1584.43      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    254000 | PA      | $233916.22    | 0.01%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26288 | PA      | $27211.10     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73101 | PA      | $65430.65     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                             | Xcel Energy Inc                                                                 | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   2375000 | PA      | $2118372.94   | 0.10%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217601 | PA      | $204237.40    | 0.01%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       448 | PA      | $416.93       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99164 | PA      | $95357.84     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                 | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2745000 | PA      | $2587209.17   | 0.13%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2160139 | PA      | $2152247.30   | 0.11%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $118954.69    | 0.01%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257865 | PA      | $226428.13    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2433722 | PA      | $1986708.87   | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3754 | PA      | $3726.82      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4486305 | PA      | $3810560.30   | 0.19%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4250000 | PA      | $3344882.81   | 0.17%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1176650 | PA      | $958022.45    | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4993 | PA      | $5089.61      | 0.00%             | 2033-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $2542383.58   | 0.13%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727802 | PA      | $638999.50    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3905000 | PA      | $3381485.94   | 0.17%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216617 | PA      | $208258.33    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45265000 | PA      | $45020993.59  | 2.22%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2285000 | PA      | $2080690.59   | 0.10%             | 2027-08-15      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AMF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7009 | PA      | $6604.98      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QQQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589596 | PA      | $567518.40    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396705 | PA      | $362513.85    | 0.02%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42445 | PA      | $39696.61     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2021-3 Ltd                                                    | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3310000 | PA      | $3205405.32   | 0.16%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523881 | PA      | $482912.94    | 0.02%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1730000 | PA      | $1676471.55   | 0.08%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1465928.42   | 0.07%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8305 | PA      | $7960.11      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                          | Vodafone Group PLC                                                              | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    310000 | PA      | $260457.01    | 0.01%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QJU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       415 | PA      | $406.13       | 0.00%             | 2037-02-01      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700843 | PA      | $627235.11    | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2073 | PA      | $1917.61      | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310248 | PA      | $265771.68    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35123 | PA      | $36325.97     | 0.00%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402C4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3362 | PA      | $3417.13      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165000 | PA      | $1088230.81   | 0.05%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64988 | PA      | $62910.18     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89951 | PA      | $92831.07     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4358648 | PA      | $3555837.55   | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4177 | PA      | $3879.49      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13664 | PA      | $13758.19     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       604 | PA      | $619.60       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2323032 | PA      | $2167688.14   | 0.11%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69164 | PA      | $70193.00     | 0.00%             | 2040-12-01      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAF8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     85000 | PA      | $72196.31     | 0.00%             | 2047-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE17 Mortgage Trust                                                 | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2592299 | PA      | $23168.41     | 0.00%             | 2047-05-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93553 | PA      | $85128.56     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189205 | PA      | $195712.69    | 0.01%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799744 | PA      | $798180.28    | 0.04%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                | Hilton Grand Vacations Trust 2017-A                                             | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93534 | PA      | $92063.94     | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2044171.64   | 0.10%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2019-4 LTD                                                       | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $480759.90    | 0.02%             | 2035-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69877 | PA      | $69271.25     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust              | LUXE Trust 2021-TRIP                                                            | CUSIP: 55066WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3505000 | PA      | $3263275.22   | 0.16%             | 2038-10-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R03                                    | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1779347 | PA      | $1766973.74   | 0.09%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63850 | PA      | $59580.48     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                            | Kilroy Realty LP                                                                | CUSIP: 49427RAL6<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |   2655000 | PA      | $2574698.09   | 0.13%             | 2025-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AUWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7061 | PA      | $7015.50      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   2755000 | PA      | $2461554.62   | 0.12%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42191 | PA      | $38515.94     | 0.00%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit              | Freddie Mac Whole Loan Securities Trust                                         | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814893 | PA      | $779366.96    | 0.04%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                         | Sherwin-Williams Co/The                                                         | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   2665000 | PA      | $2334690.89   | 0.12%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2021-NQM4 Trust                                                            | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    801879 | PA      | $596721.12    | 0.03%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A83M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433822 | PA      | $418577.16    | 0.02%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242341 | PA      | $213997.26    | 0.01%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                      | Discover Financial Services                                                     | CUSIP: 254709AL2<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   3870000 | PA      | $3726966.89   | 0.18%             | 2025-03-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                                            | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204301 | PA      | $192291.68    | 0.01%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2915 | PA      | $2850.01      | 0.00%             | 2037-01-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26378154 | PA      | $21478201.25  | 1.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   1340000 | PA      | $1156924.24   | 0.06%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2015-GC34                                          | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   2289572 | PA      | $61149.89     | 0.00%             | 2048-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DSF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29797 | PA      | $30907.69     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6801 | PA      | $6107.13      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A5YJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93164 | PA      | $92355.69     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1140000 | PA      | $1193450.04   | 0.06%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1507 | PA      | $1538.84      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                    | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2397842.39   | 0.12%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19868 | PA      | $20044.25     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    375000 | PA      | $366191.33    | 0.02%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75430 | PA      | $78548.71     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ST GEN FUND ANNUAL A              | State of Wisconsin                                                              | CUSIP: 977100EL6<br>LEI: 549300VTAT608CNZ5827 | Long             | DBT              | MUN               | US        |    250000 | PA      | $218194.62    | 0.01%             | 2036-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8999 | PA      | $8652.97      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP3 Trust                                                             | CUSIP: 67113ABC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23554 | PA      | $22555.27     | 0.00%             | 2059-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60771 | PA      | $60069.21     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                         | Cardinal Health Inc                                                             | CUSIP: 14149YBB3<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    540000 | PA      | $431920.39    | 0.02%             | 2044-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $101823.99    | 0.01%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5792215 | PA      | $4719677.71   | 0.23%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179709 | PA      | $167837.81    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86317 | PA      | $77230.46     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                         | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1188718.05   | 0.06%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGFB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129096 | PA      | $123978.76    | 0.01%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1490000 | PA      | $1250546.72   | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43079 | PA      | $43780.94     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    785000 | PA      | $733841.02    | 0.04%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292LH81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55283 | PA      | $53158.93     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36297GYU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535793 | PA      | $503874.84    | 0.02%             | 2043-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $155398.79    | 0.01%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134343 | PA      | $133327.61    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5175000 | PA      | $4260805.67   | 0.21%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211699 | PA      | $1237355.77   | 0.06%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58738 | PA      | $53506.93     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FAL5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    665000 | PA      | $620452.87    | 0.03%             | 2028-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QW5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185919 | PA      | $178165.07    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139780 | PA      | $130177.54    | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295171 | PA      | $262855.04    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-MEAD                                        | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $733219.38    | 0.04%             | 2036-11-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    215592 | PA      | $214943.36    | 0.01%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13967 | PA      | $12723.48     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140N0DG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519096 | PA      | $486931.29    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                                               | CUSIP: 92538KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099027 | PA      | $856095.31    | 0.04%             | 2066-09-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289796 | PA      | $260273.93    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130589 | PA      | $124820.31    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    570000 | PA      | $562091.85    | 0.03%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83967.81     | 0.00%             | 2038-07-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4028 | PA      | $4083.41      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133802 | PA      | $109746.15    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                             | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    970000 | PA      | $873438.43    | 0.04%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5227 | PA      | $5450.71      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4454386 | PA      | $3830413.42   | 0.19%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34613 | PA      | $35347.83     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128245 | PA      | $125447.00    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2255000 | PA      | $2232745.18   | 0.11%             | 2028-09-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347350 | PA      | $333577.40    | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19752 | PA      | $20290.85     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    155000 | PA      | $140230.05    | 0.01%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263774 | PA      | $236466.39    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C02Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1174 | PA      | $1163.12      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2020-INV1                                            | CUSIP: 92537TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95635 | PA      | $91435.49     | 0.00%             | 2060-03-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| BORAL FINANCE PTY LTD                       | Boral Finance Pty Ltd                                                           | CUSIP: 09952AAC0<br>LEI: 549300X2TYFVNPM0UT91 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $292488.08    | 0.01%             | 2028-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1469726.76   | 0.07%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    270000 | PA      | $246483.72    | 0.01%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13754 | PA      | $13627.93     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38584 | PA      | $38292.62     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GQ4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60975 | PA      | $56540.63     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1957148.74   | 0.10%             | 2036-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367486 | PA      | $301025.88    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44955 | PA      | $45856.11     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10071 | PA      | $9994.92      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    595000 | PA      | $605977.51    | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56063 | PA      | $53113.94     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225404 | PA      | $216963.96    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3960 | PA      | $4099.79      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31339SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52785 | PA      | $48597.51     | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139452 | PA      | $128389.11    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10858 | PA      | $11299.80     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1532444.51   | 0.08%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance P              | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $147527.76    | 0.01%             | 2040-12-10      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GSRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125341 | PA      | $116200.07    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAE5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    515000 | PA      | $410969.02    | 0.02%             | 2031-04-03      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 A PTT                     | United Airlines 2019-2 Class A Pass Through Trust                               | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    839334 | PA      | $673098.72    | 0.03%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers Clo 40 Ltd                                       | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1574771.68   | 0.08%             | 2033-04-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    660000 | PA      | $615477.38    | 0.03%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H5ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56438 | PA      | $53813.58     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HQBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16809 | PA      | $15313.93     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156953 | PA      | $161611.78    | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-2                                     | CUSIP: 24381WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    606749 | PA      | $500088.06    | 0.02%             | 2066-04-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    445000 | PA      | $375542.88    | 0.02%             | 2028-04-10      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1307 | PA      | $1310.03      | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2575000 | PA      | $1990437.15   | 0.10%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4760000 | PA      | $4255737.50   | 0.21%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XAZ9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2716404.07   | 0.13%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J7YN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53605 | PA      | $48831.70     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538607 | PA      | $517828.00    | 0.03%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3297991 | PA      | $2855698.95   | 0.14%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14246 | PA      | $14547.88     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7465627 | PA      | $453218.82    | 0.02%             | 2053-03-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                     | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1636166.19   | 0.08%             | 2028-05-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42996 | PA      | $40508.91     | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $179273.58    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118604 | PA      | $110435.07    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ALL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6600 | PA      | $6452.20      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-G                                | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714986 | PA      | $634151.09    | 0.03%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                 | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBC1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $180475.00    | 0.01%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43808 | PA      | $43035.14     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R01                                    | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984870 | PA      | $972308.31    | 0.05%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2020-INV1                                            | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $365739.99    | 0.02%             | 2060-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13516 | PA      | $13973.59     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4369 | PA      | $4472.19      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    365000 | PA      | $348567.70    | 0.02%             | 2026-09-12      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MBXB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       993 | PA      | $999.67       | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292SAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256650 | PA      | $240378.17    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4310 | PA      | $4457.79      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4032 | PA      | $3727.54      | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-6                                                 | CUSIP: 03465AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85487 | PA      | $73205.31     | 0.00%             | 2065-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36184Y5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138503 | PA      | $129198.23    | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    287000 | PA      | $264220.81    | 0.01%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                             | PerkinElmer Inc                                                                 | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $1691511.45   | 0.08%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       962 | PA      | $981.29       | 0.00%             | 2036-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2207 | PA      | $2250.55      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                     | CUSIP: 61763UAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $111380.36    | 0.01%             | 2047-08-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191976 | PA      | $180871.82    | 0.01%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     85000 | PA      | $74348.10     | 0.00%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                     | CUSIP: 61766NBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $68199.02     | 0.00%             | 2049-09-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                          | Realty Income Corp                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1452549.41   | 0.07%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    135000 | PA      | $136601.28    | 0.01%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3000000 | PA      | $2561091.90   | 0.13%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-C                                         | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |   1494945 | PA      | $1405172.50   | 0.07%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5035000 | PA      | $4937825.81   | 0.24%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                              | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   5240000 | PA      | $4922775.33   | 0.24%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555034 | PA      | $550699.47    | 0.03%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118381 | PA      | $107712.62    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                     | CUSIP: 00973RAG8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    895000 | PA      | $825427.62    | 0.04%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust               | Alen 2021-ACEN Mortgage Trust                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2982992.68   | 0.15%             | 2034-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78305 | PA      | $73745.21     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $5913660.97   | 0.29%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands                        | ServiceMaster Funding LLC                                                       | CUSIP: 81761TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2774875 | PA      | $2178515.51   | 0.11%             | 2051-07-30      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAN0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1275822.47   | 0.06%             | 2027-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3655531 | PA      | $3167876.44   | 0.16%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33722 | PA      | $32300.14     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru              | Vista Point Securitization Trust 2020-2                                         | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509538 | PA      | $1317256.61   | 0.07%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    250000 | PA      | $217206.78    | 0.01%             | 2027-07-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-2                                               | CUSIP: 92538FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982203 | PA      | $800799.44    | 0.04%             | 2066-02-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600000 | PA      | $1386172.90   | 0.07%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                     | CUSIP: 61763UBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $57035.38     | 0.00%             | 2047-08-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    445000 | PA      | $404338.13    | 0.02%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437272 | PA      | $359019.67    | 0.02%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                            | Hardee's Funding LLC                                                            | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363850 | PA      | $341707.18    | 0.02%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76416 | PA      | $73278.19     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27394 | PA      | $27858.42     | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22192 | PA      | $22491.04     | 0.00%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $785407.60    | 0.04%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ACH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196386 | PA      | $188596.15    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13055 | PA      | $12537.43     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1290000 | PA      | $1135129.31   | 0.06%             | 2027-04-01      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15373 | PA      | $15342.98     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AON CORP                                    | Aon Corp                                                                        | CUSIP: 037389BE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    710000 | PA      | $606216.82    | 0.03%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A2WW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46157 | PA      | $44327.18     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27436 | PA      | $28029.73     | 0.00%             | 2039-02-01      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7429 | PA      | $6931.48      | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    290000 | PA      | $292191.27    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2074 | PA      | $2084.43      | 0.00%             | 2046-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30936 | PA      | $31362.44     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138107 | PA      | $129628.23    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68292 | PA      | $63355.05     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                       | Healthpeak Properties Inc                                                       | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    435000 | PA      | $386965.66    | 0.02%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4454 | PA      | $4400.01      | 0.00%             | 2035-12-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140753 | PA      | $128478.29    | 0.01%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129600 | PA      | $130485.11    | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    597651 | PA      | $514584.93    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21803 | PA      | $22265.64     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5942 | PA      | $6026.64      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11059 | PA      | $10299.22     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2322 | PA      | $2272.80      | 0.00%             | 2036-11-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490685 | PA      | $471749.72    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                    | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1301422.42   | 0.06%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235493 | PA      | $234006.74    | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AM5L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723684 | PA      | $614641.20    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73853 | PA      | $68783.46     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3897 | PA      | $3634.83      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36291JJW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106869 | PA      | $107703.71    | 0.01%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417FSE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21754 | PA      | $19767.51     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2021-2                           | CUSIP: 61772LBL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140726 | PA      | $107506.98    | 0.01%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3255000 | PA      | $2890338.28   | 0.14%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CENTRA HEALTH INC                           | Centra Health Inc                                                               | CUSIP: 15236AAA9<br>LEI: 549300Q8RNBDU210L043 | Long             | DBT              | CORP              | US        |    650000 | PA      | $553314.41    | 0.03%             | 2048-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   3735000 | PA      | $3635488.43   | 0.18%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    130000 | PA      | $101812.71    | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528660 | PA      | $522558.32    | 0.03%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283811 | PA      | $251926.40    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320937 | PA      | $292048.24    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30461 | PA      | $29805.79     | 0.00%             | 2044-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332638 | PA      | $311058.82    | 0.02%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9X30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50892 | PA      | $49994.62     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16115 | PA      | $14751.80     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362673 | PA      | $338757.81    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201211 | PA      | $193234.39    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36192STM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38874 | PA      | $36231.73     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2089241 | PA      | $1834984.49   | 0.09%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822078 | PA      | $810535.30    | 0.04%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9847 | PA      | $9145.11      | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2749106 | PA      | $2316784.65   | 0.11%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403C5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232068 | PA      | $240003.46    | 0.01%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84836 | PA      | $87762.86     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FP7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51316 | PA      | $50420.56     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                   | Aflac Inc                                                                       | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    535000 | PA      | $484057.17    | 0.02%             | 2030-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7578 | PA      | $7065.67      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EVN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5303 | PA      | $5518.22      | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2017-5                                                   | CUSIP: 81746DCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1276135 | PA      | $1088410.40   | 0.05%             | 2047-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392961 | PA      | $392192.13    | 0.02%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GSKQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24395 | PA      | $23457.27     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    920000 | PA      | $807167.89    | 0.04%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3500 | PA      | $3620.42      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40095000 | PA      | $39286835.16  | 1.94%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27589 | PA      | $27074.68     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132562 | PA      | $127321.07    | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2945683 | PA      | $2400020.01   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128361 | PA      | $123271.14    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XVI-S Ltd                                                  | CUSIP: 64131TAN4<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   2855000 | PA      | $2781864.04   | 0.14%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2455104 | PA      | $2289594.95   | 0.11%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183926 | PA      | $162459.70    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6090 | PA      | $6117.49      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XCK0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $998274.16    | 0.05%             | 2025-04-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2770562.54   | 0.14%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE              | Port Authority of New York & New Jersey                                         | CUSIP: 73358WRQ9<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     50000 | PA      | $50069.29     | 0.00%             | 2046-08-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35371 | PA      | $33926.19     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155330 | PA      | $151180.02    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4335000 | PA      | $3908555.08   | 0.19%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3893 | PA      | $4025.88      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $1704243.92   | 0.08%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680638 | PA      | $581763.62    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178AWB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17865 | PA      | $16355.68     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                    | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2718380.95   | 0.13%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15713 | PA      | $16331.43     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12339 | PA      | $12618.18     | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2021-2 Ltd                                                    | CUSIP: 69701XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2655000 | PA      | $2591487.62   | 0.13%             | 2034-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312939V73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35272 | PA      | $35005.47     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240235 | PA      | $204810.19    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W4S51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3609 | PA      | $3283.42      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                             | MVW Owner Trust 2017-1                                                          | CUSIP: 553896AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    789572 | PA      | $771588.61    | 0.04%             | 2034-12-20      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107847 | PA      | $97614.51     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820220 | PA      | $667819.61    | 0.03%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56614 | PA      | $57562.17     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       816 | PA      | $830.84       | 0.00%             | 2033-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1430000 | PA      | $1237285.76   | 0.06%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3643947 | PA      | $3271739.07   | 0.16%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16393 | PA      | $16250.47     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   1225000 | PA      | $1159717.91   | 0.06%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3660000 | PA      | $3005350.44   | 0.15%             | 2031-01-13      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   3405000 | PA      | $2851903.04   | 0.14%             | 2028-04-03      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1138 | PA      | $1121.24      | 0.00%             | 2037-08-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2180000 | PA      | $2027472.59   | 0.10%             | 2024-06-22      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91098 | PA      | $82436.60     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2631 | PA      | $2684.86      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3857 | PA      | $3936.62      | 0.00%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59683 | PA      | $62308.09     | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ST JOSEPHS UNIV MEDICAL                     | St Joseph's University Medical Center Inc                                       | CUSIP: 85258PAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4880000 | PA      | $4551852.16   | 0.22%             | 2027-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193UCX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18921 | PA      | $17626.01     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2014-7 Ltd                                                              | CUSIP: 67107KAZ9<br>LEI: 254900NUK1R46EK6YF62 | Long             | ABS-CBDO         | CORP              | KY        |   2692357 | PA      | $2664483.64   | 0.13%             | 2029-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-1                                               | CUSIP: 92537QAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666796 | PA      | $532839.19    | 0.03%             | 2066-01-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413JZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1817 | PA      | $1861.12      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5770000 | PA      | $5146569.56   | 0.25%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9471 | PA      | $9401.04      | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                    | Enel Finance America LLC                                                        | CUSIP: 29280HAA0<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    580000 | PA      | $602918.07    | 0.03%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       712 | PA      | $713.46       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD3 Mortgage Trust                                                      | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965000 | PA      | $818356.09    | 0.04%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512858 | PA      | $1238095.64   | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198055 | PA      | $204723.56    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1861484.98   | 0.09%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1932033 | PA      | $1823065.36   | 0.09%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22548 | PA      | $20975.76     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.31        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749415 | PA      | $664095.49    | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1324000 | PA      | $1060351.55   | 0.05%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6ST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2329267 | PA      | $2179148.58   | 0.11%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115196 | PA      | $107954.53    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1460000 | PA      | $915237.50    | 0.05%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47665 | PA      | $50686.41     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1420000 | PA      | $1350056.91   | 0.07%             | 2026-03-30      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                        | Woodside Finance Ltd                                                            | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   3120000 | PA      | $2824967.18   | 0.14%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14408 | PA      | $15006.29     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3185000 | PA      | $2932797.78   | 0.14%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41403 | PA      | $40846.69     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJ4A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155539 | PA      | $154190.50    | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99450 | PA      | $88921.69     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312944TS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417077 | PA      | $400986.47    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2020-REV2                                          | CUSIP: 34532JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2910000 | PA      | $2515255.01   | 0.12%             | 2033-04-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148932 | PA      | $143026.21    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                           | CUSIP: 95003JAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2538829 | PA      | $1991721.22   | 0.10%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WNXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73511 | PA      | $66885.16     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100294 | PA      | $103832.44    | 0.01%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-NQM1 Trust                                                             | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1569351 | PA      | $1220821.88   | 0.06%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                  | FedEx Corp                                                                      | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $1896900.24   | 0.09%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778310 | PA      | $1715854.12   | 0.08%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AMGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065555 | PA      | $919832.87    | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M97F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119368 | PA      | $123911.17    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402445 | PA      | $391041.85    | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       119 | PA      | $124.03       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6220 | PA      | $6432.46      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                          | Regency Centers LP                                                              | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92431.59     | 0.00%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66485 | PA      | $66639.20     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22220000 | PA      | $19504993.75  | 0.96%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $2364221.91   | 0.12%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                         | Fifth Third Bancorp                                                             | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    665000 | PA      | $633268.67    | 0.03%             | 2030-07-28      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J8N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156892 | PA      | $146908.53    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1815000 | PA      | $1673203.13   | 0.08%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                     | Nationwide Building Society                                                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1140000 | PA      | $1001444.74   | 0.05%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12208 | PA      | $12201.95     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13264 | PA      | $11938.41     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    980000 | PA      | $948089.69    | 0.05%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228572 | PA      | $211178.43    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312945ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9789 | PA      | $9687.16      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57708 | PA      | $57414.94     | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    930000 | PA      | $625605.52    | 0.03%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $61652.50     | 0.00%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37249 | PA      | $37933.68     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2330000 | PA      | $2161341.55   | 0.11%             | 2026-05-07      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38782 | PA      | $36402.93     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXVII Ltd                                                 | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3755000 | PA      | $3698399.01   | 0.18%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   6985000 | PA      | $6852246.51   | 0.34%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87009 | PA      | $78065.83     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2619131 | PA      | $2223836.31   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5470000 | PA      | $5142654.69   | 0.25%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                        | Boston Properties LP                                                            | CUSIP: 10112RAY0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   4605000 | PA      | $4152817.50   | 0.21%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-LC17 Mortgage Trust                                                   | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2453306 | PA      | $21828.53     | 0.00%             | 2047-10-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6655000 | PA      | $6274673.87   | 0.31%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134996 | PA      | $126094.42    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                          | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |      -167 | NC      | $1060375.94   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3041639 | PA      | $2838489.97   | 0.14%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71939 | PA      | $74399.53     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165065 | PA      | $151172.68    | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9BR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2489 | PA      | $2392.54      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1324798.98   | 0.07%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11483 | PA      | $10822.08     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7755000 | PA      | $6593233.22   | 0.33%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8330000 | PA      | $7096118.75   | 0.35%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6584 | PA      | $6125.58      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2015-B                                         | CUSIP: 78448QAD0<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |    228896 | PA      | $228582.01    | 0.01%             | 2032-05-17      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180483 | PA      | $191186.92    | 0.01%             | 2040-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411VFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15961 | PA      | $16183.96     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                    | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  10345000 | PA      | $9586560.36   | 0.47%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105384 | PA      | $109041.00    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93095.19     | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240228 | PA      | $243262.03    | 0.01%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin              | GM Financial Automobile Leasing Trust 2021-2                                    | CUSIP: 380144AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $239072.50    | 0.01%             | 2025-05-20      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4045000 | PA      | $3530155.96   | 0.17%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2021-1                                             | CUSIP: 262108AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790000 | PA      | $1677444.62   | 0.08%             | 2029-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                             | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82238 | PA      | $77623.68     | 0.00%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7900678 | PA      | $328070.93    | 0.02%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LPNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015638 | PA      | $862308.26    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                    | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    920000 | PA      | $752506.16    | 0.04%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56342.88     | 0.00%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86343 | PA      | $81795.38     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3158690.98   | 0.16%             | 2026-09-29      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633410 | PA      | $555958.08    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1725000 | PA      | $1618363.61   | 0.08%             | 2036-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E2LR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11458 | PA      | $11003.81     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $1864212.32   | 0.09%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2391731.91   | 0.12%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147402 | PA      | $147113.42    | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1036863.16   | 0.05%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                       | Healthpeak Properties Inc                                                       | CUSIP: 42250PAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    470000 | PA      | $392740.38    | 0.02%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $2927.70      | 0.00%             | 2033-07-05      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                       | Transurban Finance Co Pty Ltd                                                   | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |   1625000 | PA      | $1278673.50   | 0.06%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7216 | PA      | $6719.80      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2014-C19                             | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373980 | PA      | $1961.52      | 0.00%             | 2047-04-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2465000 | PA      | $2359807.51   | 0.12%             | 2028-06-06      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183581 | PA      | $169034.33    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7601 | PA      | $7552.42      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103406 | PA      | $99202.21     | 0.00%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12328 | PA      | $12233.38     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                     | CNO Financial Group Inc                                                         | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1083142.55   | 0.05%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMLZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27240 | PA      | $25518.67     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36192XPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55626 | PA      | $51888.55     | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102955 | PA      | $106291.51    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                              | Aon Global Ltd                                                                  | CUSIP: 00185AAH7<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $64994.83     | 0.00%             | 2045-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3027053 | PA      | $2537159.17   | 0.13%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5069 | PA      | $4855.48      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12645 | PA      | $12544.41     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                   | Apple Inc                                                                       | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $801349.00    | 0.04%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ASU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14880 | PA      | $13539.04     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YAG33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2575 | PA      | $2311.78      | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2020-NQM                                    | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286931 | PA      | $262770.48    | 0.01%             | 2060-05-24      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       504 | PA      | $514.36       | 0.00%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80838 | PA      | $72467.01     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ALJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23002 | PA      | $18781.33     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82764 | PA      | $87568.06     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5485731 | PA      | $4657813.36   | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4780000 | PA      | $3417161.29   | 0.17%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M5JN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17397 | PA      | $17216.05     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11114 | PA      | $10471.45     | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    105000 | PA      | $99926.69     | 0.00%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221759 | PA      | $226770.54    | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1838721 | PA      | $1761201.80   | 0.09%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395687 | PA      | $359140.80    | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ATY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11639 | PA      | $10880.05     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375280 | PA      | $1126565.45   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2017-C5                                           | CUSIP: 90276TAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1139032.98   | 0.06%             | 2050-11-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2043 | PA      | $2110.48      | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8884904 | PA      | $7241807.56   | 0.36%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C19                                        | CUSIP: 92938VAS4<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |   1785000 | PA      | $1731529.61   | 0.09%             | 2047-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72883 | PA      | $73805.25     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1506 | PA      | $1411.07      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAF0<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1325141.71   | 0.07%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                           | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $192848.51    | 0.01%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4851 | PA      | $4950.91      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27790525 | PA      | $22642359.10  | 1.12%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1383121.14   | 0.07%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6550000 | PA      | $5669912.98   | 0.28%             | 2038-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304308 | PA      | $310766.50    | 0.02%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $195088.74    | 0.01%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DETROIT MI CITY SCH DIST                    | Detroit City School District                                                    | CUSIP: 251130EC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    240000 | PA      | $257829.78    | 0.01%             | 2029-05-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2779114 | PA      | $2470599.03   | 0.12%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20103 | PA      | $19737.00     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                             | PerkinElmer Inc                                                                 | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    960000 | PA      | $751678.44    | 0.04%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXIII Ltd                                                 | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $274600.03    | 0.01%             | 2032-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43327 | PA      | $42562.73     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307L3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17333 | PA      | $16686.72     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WPP FINANCE 2010                            | WPP Finance 2010                                                                | CUSIP: 92936MAF4<br>LEI: 549300OJB3S151W7KN44 | Long             | DBT              | CORP              | GB        |   4385000 | PA      | $4244213.00   | 0.21%             | 2024-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $261852.97    | 0.01%             | 2036-12-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5WP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387925 | PA      | $352186.69    | 0.02%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244973 | PA      | $234973.85    | 0.01%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40001 | PA      | $38414.56     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                    | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     95000 | PA      | $72692.94     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60839 | PA      | $58157.72     | 0.00%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    225000 | PA      | $169292.24    | 0.01%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                            | AGL CLO 14 Ltd                                                                  | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6310000 | PA      | $6128174.83   | 0.30%             | 2034-12-02      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-2                                                 | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268479 | PA      | $220364.26    | 0.01%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135481 | PA      | $134491.68    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AZW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21488 | PA      | $21109.03     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QDSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3715129 | PA      | $3487293.58   | 0.17%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YA6A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9616 | PA      | $8973.33      | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86042 | PA      | $83237.97     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6010000 | PA      | $6105492.11   | 0.30%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2938 | PA      | $2830.04      | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                      | Massachusetts Institute of Technology                                           | CUSIP: 575718AE1<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67802.47     | 0.00%             | 2038-07-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBTG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55739 | PA      | $45798.83     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168460 | PA      | $171314.98    | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419ACV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2937 | PA      | $3059.26      | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C24                                        | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503217 | PA      | $17539.08     | 0.00%             | 2047-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBZ2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2159901.38   | 0.11%             | 2032-01-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1159 | PA      | $1157.87      | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362738 | PA      | $339416.56    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67398 | PA      | $62870.14     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325163 | PA      | $327372.28    | 0.02%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    775000 | PA      | $746930.34    | 0.04%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98386 | PA      | $89104.46     | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $2785278.45   | 0.14%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185955 | PA      | $163273.44    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20833 | PA      | $20802.91     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52756 | PA      | $50973.64     | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23241 | PA      | $23039.74     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11696 | PA      | $10271.34     | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                    | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    317015 | PA      | $280401.11    | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11259 | PA      | $10607.82     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86733 | PA      | $83306.80     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21990 | PA      | $19675.58     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1769844 | PA      | $1517259.87   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33529.84     | 0.00%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17514 | PA      | $16501.20     | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QJUV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6977 | PA      | $6926.21      | 0.00%             | 2037-02-01      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2017-C7                                           | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2341889 | PA      | $84898.62     | 0.00%             | 2050-12-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72120 | PA      | $67047.61     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115525 | PA      | $116985.39    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1395278 | PA      | $1182869.59   | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59475 | PA      | $58959.28     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198939 | PA      | $203161.21    | 0.01%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490952 | PA      | $473719.55    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL WTR & SWR R              | County of Miami-Dade FL Water & Sewer System Revenue                            | CUSIP: 59334DLS1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    405000 | PA      | $323276.44    | 0.02%             | 2042-10-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77033 | PA      | $71981.66     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933968 | PA      | $830003.99    | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8623 | PA      | $8679.83      | 0.00%             | 2037-11-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    625000 | PA      | $568929.23    | 0.03%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971793 | PA      | $948435.82    | 0.05%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6842 | PA      | $6448.43      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1873 | PA      | $1876.96      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22875 | PA      | $23359.58     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154043 | PA      | $118482.10    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55425 | PA      | $57475.01     | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                               | Sempra Energy                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    670000 | PA      | $611304.19    | 0.03%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3590000 | PA      | $3240580.99   | 0.16%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    735496 | PA      | $750923.44    | 0.04%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6425000 | PA      | $6077020.01   | 0.30%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669181 | PA      | $573378.14    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDM3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $328746.57    | 0.02%             | 2025-09-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154658 | PA      | $140790.76    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    571553 | PA      | $490389.98    | 0.02%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3693 | PA      | $3819.21      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39851 | PA      | $39386.92     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169106 | PA      | $172692.89    | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36297F6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5173 | PA      | $5295.33      | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36795 | PA      | $35197.79     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4434 | PA      | $4431.85      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2534 | PA      | $2586.34      | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-PC1 Mortgage Trust                                                    | CUSIP: 12593GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $182021.25    | 0.01%             | 2050-07-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411969 | PA      | $384299.57    | 0.02%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123125 | PA      | $118417.51    | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    600000 | PA      | $590482.05    | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223212 | PA      | $1051882.17   | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA REVENUES              | University of California                                                        | CUSIP: 91412GXY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $13166.15     | 0.00%             | 2045-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                              | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372886 | PA      | $339572.63    | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C2UT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74634 | PA      | $74155.13     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17667 | PA      | $16933.12     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWHA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39979 | PA      | $39173.09     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97938 | PA      | $93927.90     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4115 | PA      | $4202.72      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21435 | PA      | $21273.44     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | AmeriCredit Automobile Receivables Trust 2021-1                                 | CUSIP: 03063FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1757735.18   | 0.09%             | 2026-10-19      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481926 | PA      | $476363.11    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                               | State of California                                                             | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | PA      | $125884.79    | 0.01%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23556 | PA      | $23806.12     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9332 | PA      | $9521.11      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098275 | PA      | $875504.19    | 0.04%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                     | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    143460 | PA      | $115830.67    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8E25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110424 | PA      | $107833.85    | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109BE0<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     45000 | PA      | $43199.09     | 0.00%             | 2025-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641777 | PA      | $563470.70    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1411660 | PA      | $1311079.97   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11765 | PA      | $11663.01     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2758 | PA      | $2814.84      | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63739 | PA      | $65990.35     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24845 | PA      | $23178.83     | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8227 | PA      | $8211.11      | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59990 | PA      | $59364.01     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114553 | PA      | $107350.24    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-FCMT                                 | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $653172.19    | 0.03%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2014-GC26                                          | CUSIP: 36250HAE3<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $234982.32    | 0.01%             | 2047-11-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2019-BWAY Mortgage Trust                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $163418.96    | 0.01%             | 2034-11-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19722 | PA      | $20139.56     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22461 | PA      | $22291.02     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34068 | PA      | $34537.84     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MSQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $984941.62    | 0.05%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038341 | PA      | $1000309.84   | 0.05%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3120000 | PA      | $2653706.27   | 0.13%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179825 | PA      | $178828.38    | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754814 | PA      | $675375.38    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5945000 | PA      | $4863752.83   | 0.24%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1568682.81   | 0.08%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1910000 | PA      | $1665515.80   | 0.08%             | 2027-01-13      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6635 | PA      | $6621.96      | 0.00%             | 2035-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1578 | PA      | $1480.06      | 0.00%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M1EN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23800 | PA      | $22277.30     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371NEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7128 | PA      | $7441.39      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36279 | PA      | $33209.36     | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30104 | PA      | $28941.75     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45255 | PA      | $42083.20     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610571 | PA      | $611176.88    | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD 2019-DPLO                                                                  | CUSIP: 054970AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $561014.51    | 0.03%             | 2034-10-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| AUSGRID FINANCE PTY LTD                     | Ausgrid Finance Pty Ltd                                                         | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   2615000 | PA      | $2412514.01   | 0.12%             | 2028-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2970000 | PA      | $2582275.80   | 0.13%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $907003.48    | 0.04%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FQT23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33051 | PA      | $31657.83     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120538 | PA      | $112186.20    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6622 | PA      | $6912.69      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2575000 | PA      | $2561569.83   | 0.13%             | 2024-01-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                          | CUSIP: 096630AE8<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   5035000 | PA      | $5107171.59   | 0.25%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434198 | PA      | $371857.64    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96163 | PA      | $98419.96     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179358.20    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YHU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37115 | PA      | $34543.25     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2098961.51   | 0.10%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                            | Kilroy Realty LP                                                                | CUSIP: 49427RAK8<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70167.76     | 0.00%             | 2029-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25583 | PA      | $24718.51     | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2317196 | PA      | $2079080.42   | 0.10%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212040 | PA      | $196695.09    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1844164.23   | 0.09%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173050 | PA      | $179090.82    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    355000 | PA      | $272995.38    | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5HB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19689 | PA      | $20409.16     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8064361 | PA      | $6839944.80   | 0.34%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4060000 | PA      | $3852050.98   | 0.19%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188577 | PA      | $192577.49    | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-6                                                 | CUSIP: 03465JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402404 | PA      | $1097065.35   | 0.05%             | 2066-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1665 | PA      | $1662.01      | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7586 | PA      | $6822.00      | 0.00%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33856 | PA      | $31555.44     | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41638 | PA      | $39936.58     | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                     | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2568455 | PA      | $50100.28     | 0.00%             | 2048-10-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14771316 | PA      | $12509780.50  | 0.62%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QBYN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122043 | PA      | $114265.35    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    911172 | PA      | $764339.25    | 0.04%             | 2052-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2022-3                                      | CUSIP: 30166YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2660000 | PA      | $2608368.87   | 0.13%             | 2027-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175662 | PA      | $176073.38    | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38375GQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59925 | PA      | $345.07       | 0.00%             | 2037-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386957 | PA      | $371608.02    | 0.02%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92653 | PA      | $83343.79     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WF3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42876 | PA      | $39846.85     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33542 | PA      | $31602.55     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP1 Trust                                                             | CUSIP: 67448TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60540 | PA      | $53209.45     | 0.00%             | 2060-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $1772666.80   | 0.09%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167240 | PA      | $170088.09    | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       860 | PA      | $826.82       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6640 | PA      | $6048.36      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9QZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49783 | PA      | $51972.94     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273427 | PA      | $243175.95    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1371 | PA      | $1408.38      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60342 | PA      | $60186.88     | 0.00%             | 2041-08-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5649212 | PA      | $4816216.83   | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WF2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14671 | PA      | $13639.34     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53216 | PA      | $49812.96     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2021-4                                      | CUSIP: 30165JAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2990000 | PA      | $2814216.41   | 0.14%             | 2027-10-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $1916605.76   | 0.09%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57482 | PA      | $60273.93     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST PUBLIC WKS BRD L              | California State Public Works Board                                             | CUSIP: 130685C81<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    200000 | PA      | $231959.08    | 0.01%             | 2035-03-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    685000 | PA      | $580965.63    | 0.03%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2494207 | PA      | $2459714.37   | 0.12%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36222 | PA      | $36679.18     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8HN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7309 | PA      | $6889.73      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    966935 | PA      | $865270.26    | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34295000 | PA      | $27618192.19  | 1.36%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3448884 | PA      | $2810518.79   | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79486.28     | 0.00%             | 2024-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348935 | PA      | $325181.79    | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824472 | PA      | $712844.55    | 0.04%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9LL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19085 | PA      | $17882.52     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44762 | PA      | $44476.46     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES MI WTR AUTH SEWAGE              | Great Lakes Water Authority Sewage Disposal System Revenue                      | CUSIP: 39081HCV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    170000 | PA      | $129954.77    | 0.01%             | 2039-07-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2657509.91   | 0.13%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161472 | PA      | $150951.07    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS6 Mortgage Trust                                                   | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2427035 | PA      | $29489.69     | 0.00%             | 2047-12-10      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7DB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30639 | PA      | $28650.79     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV2                                              | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220697 | PA      | $184884.15    | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713559 | PA      | $640421.57    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MVHU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1567826 | PA      | $1450426.03   | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QG5L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679375 | PA      | $580125.56    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    990000 | PA      | $763280.40    | 0.04%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2016-B                                         | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    263790 | PA      | $261870.53    | 0.01%             | 2032-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54329 | PA      | $53578.12     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68675 | PA      | $71215.38     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418RGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311775 | PA      | $308176.24    | 0.02%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79529 | PA      | $81308.95     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                    | President and Fellows of Harvard College                                        | CUSIP: 740816AL7<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     35000 | PA      | $29925.39     | 0.00%             | 2037-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $973321.79    | 0.05%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19840 | PA      | $19479.04     | 0.00%             | 2025-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34440 | PA      | $34674.66     | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25227 | PA      | $25043.04     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                       | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    780000 | PA      | $708294.02    | 0.03%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99233 | PA      | $88758.16     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178413 | PA      | $160135.93    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27                     | CUSIP: 61690AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $249019.04    | 0.01%             | 2047-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Funding 2021-1 LLC                                             | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195981 | PA      | $189883.46    | 0.01%             | 2026-12-21      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV1                                                    | CUSIP: 90354XAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4331394 | PA      | $3308946.69   | 0.16%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-7                                               | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5735976 | PA      | $4812948.81   | 0.24%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771881 | PA      | $691340.74    | 0.03%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1714330 | PA      | $1673203.02   | 0.08%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ARH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12645 | PA      | $12039.13     | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1231 | PA      | $1234.84      | 0.00%             | 2045-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30369 | PA      | $29343.12     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421513 | PA      | $377365.56    | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    395000 | PA      | $247754.17    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881496 | PA      | $844972.12    | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1410909.15   | 0.07%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183146 | PA      | $164234.93    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2255000 | PA      | $1970214.70   | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199525 | PA      | $209013.26    | 0.01%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150187 | PA      | $974289.92    | 0.05%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    170000 | PA      | $151556.76    | 0.01%             | 2043-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                        | Pertamina Persero PT                                                            | CUSIP: 69369EAE9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    200000 | PA      | $198022.00    | 0.01%             | 2023-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8528 | PA      | $8824.07      | 0.00%             | 2035-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8362 | PA      | $8530.26      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3419 | PA      | $3489.27      | 0.00%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2283338.37   | 0.11%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                              | EDP Finance BV                                                                  | CUSIP: 26835PAJ9<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    730000 | PA      | $748477.03    | 0.04%             | 2027-10-11      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417320 | PA      | $380945.86    | 0.02%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2502123 | PA      | $2379249.73   | 0.12%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172490 | PA      | $178654.19    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                             | PerkinElmer Inc                                                                 | CUSIP: 714046AG4<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1037518.66   | 0.05%             | 2029-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                          | Essex Portfolio LP                                                              | CUSIP: 29717PAR8<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1636197.35   | 0.08%             | 2027-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20408 | PA      | $18932.10     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1472 | PA      | $1442.17      | 0.00%             | 2035-12-01      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                        | Boston Properties LP                                                            | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   3670000 | PA      | $3483964.91   | 0.17%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419ATJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2502 | PA      | $2515.86      | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust               | NYO Commercial Mortgage Trust 2021-1290                                         | CUSIP: 62955HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8315000 | PA      | $7307871.40   | 0.36%             | 2038-11-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417ESX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19919 | PA      | $18124.15     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229894 | PA      | $221297.50    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2019-C                                                      | CUSIP: 12597CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $136337.75    | 0.01%             | 2027-04-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92224 | PA      | $94179.77     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GKGF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94129 | PA      | $90496.71     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384353 | PA      | $371369.13    | 0.02%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2371654.47   | 0.12%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735000 | PA      | $703789.68    | 0.03%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3206169 | PA      | $2834924.37   | 0.14%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17676 | PA      | $16397.12     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    225000 | PA      | $180144.11    | 0.01%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122293 | PA      | $122027.24    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4600 | PA      | $4680.49      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073767 | PA      | $991737.66    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953312 | PA      | $900543.67    | 0.04%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16825 | PA      | $15851.50     | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2218413.71   | 0.11%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170448 | PA      | $160843.27    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HMQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20708 | PA      | $21447.86     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3362546 | PA      | $2717500.93   | 0.13%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176348 | PA      | $169353.20    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230508 | PA      | $220513.18    | 0.01%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2234 | PA      | $2236.37      | 0.00%             | 2036-03-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                     | Crown Castle Towers LLC                                                         | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2809286.26   | 0.14%             | 2025-05-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    145000 | PA      | $129526.32    | 0.01%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVW31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66474 | PA      | $63648.49     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $20.94        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    700000 | PA      | $648068.98    | 0.03%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6H50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2427 | PA      | $2536.17      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26309 | PA      | $25823.70     | 0.00%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9KQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33058 | PA      | $30079.43     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4460000 | PA      | $3870443.75   | 0.19%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-E                                | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1304603 | PA      | $1092891.15   | 0.05%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3300653.73   | 0.16%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| FREMF Mortgage Trust                        | FREMF 2019-K92 Mortgage Trust                                                   | CUSIP: 302973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265000 | PA      | $1141403.30   | 0.06%             | 2052-05-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAYL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4505 | PA      | $4317.63      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M5SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5812 | PA      | $5619.00      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W4CQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82826 | PA      | $75365.49     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC33                                   | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140326 | PA      | $77531.75     | 0.00%             | 2058-09-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11524630 | PA      | $9383278.45   | 0.46%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382380 | PA      | $362263.40    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93400 | PA      | $84181.30     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192159 | PA      | $195434.69    | 0.01%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6815000 | PA      | $5764531.67   | 0.28%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62707 | PA      | $58562.09     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5652 | PA      | $5507.31      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134969 | PA      | $130411.19    | 0.01%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                  | Nucor Corp                                                                      | CUSIP: 670346AS4<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84915.51     | 0.00%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130107 | PA      | $122113.94    | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4759 | PA      | $4829.62      | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71871 | PA      | $74157.42     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81909 | PA      | $83304.85     | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25133 | PA      | $23483.39     | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177887 | PA      | $1131954.99   | 0.06%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114551 | PA      | $103042.35    | 0.01%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1745000 | PA      | $1419488.15   | 0.07%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4457697 | PA      | $3983269.90   | 0.20%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 A PTT                     | United Airlines 2016-1 Class A Pass Through Trust                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    143554 | PA      | $120006.17    | 0.01%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-NQM5                                   | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162572 | PA      | $146071.13    | 0.01%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617GSFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47669 | PA      | $45926.38     | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60821 | PA      | $63215.07     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BRU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3283 | PA      | $3395.22      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMFY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1064424 | PA      | $979980.69    | 0.05%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643759 | PA      | $565209.43    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13799 | PA      | $13957.07     | 0.00%             | 2042-10-01      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| SAN JOSE CA REDEV AGY SUCCESSO              | San Jose Redevelopment Agency Successor Agency                                  | CUSIP: 798170AN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    165000 | PA      | $143972.77    | 0.01%             | 2034-08-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73697 | PA      | $73140.08     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98123 | PA      | $91647.05     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410TUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1179 | PA      | $1231.20      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2018-REV1                                          | CUSIP: 34532RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3775000 | PA      | $3596092.94   | 0.18%             | 2031-07-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9506 | PA      | $8862.74      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56960 | PA      | $58905.43     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YYU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13165 | PA      | $13051.00     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ATF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12962 | PA      | $12214.03     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    105000 | PA      | $95673.67     | 0.00%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418A6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12191 | PA      | $11486.49     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322143 | PA      | $308611.80    | 0.02%             | 2038-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    655000 | PA      | $512519.16    | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55631 | PA      | $57688.56     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    930000 | PA      | $909774.84    | 0.04%             | 2025-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5570000 | PA      | $4896237.20   | 0.24%             | 2026-08-21      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8852000 | PA      | $6805820.19   | 0.34%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60037 | PA      | $53719.04     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499045 | PA      | $428161.28    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57423 | PA      | $47127.89     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1138239.62   | 0.06%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KLQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565574 | PA      | $497791.98    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46713 | PA      | $46360.07     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77461 | PA      | $77309.78     | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GSL31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7064 | PA      | $6792.92      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1237792.34   | 0.06%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2019-2                                       | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60030 | PA      | $56215.78     | 0.00%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1120877.22   | 0.06%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46566 | PA      | $44842.12     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26992 | PA      | $25951.34     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                               | State of California                                                             | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    120000 | PA      | $145589.73    | 0.01%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    655000 | PA      | $585990.79    | 0.03%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13672 | PA      | $12683.22     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ASH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9943 | PA      | $9373.12      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3176335 | PA      | $55859.66     | 0.00%             | 2049-12-10      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-6                                                 | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $278142.71    | 0.01%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13212 | PA      | $13654.01     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2643276 | PA      | $2390945.84   | 0.12%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402C4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3526 | PA      | $3600.64      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO Ltd                                                 | CUSIP: 08182DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3170000 | PA      | $3038111.83   | 0.15%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                               | CUSIP: 36261HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662435 | PA      | $567960.46    | 0.03%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    925000 | PA      | $746558.36    | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18123 | PA      | $18709.83     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255617 | PA      | $1001361.64   | 0.05%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182042 | PA      | $184340.75    | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929798 | PA      | $867023.16    | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67242 | PA      | $70565.14     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92863 | PA      | $91456.56     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471369 | PA      | $421610.76    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264345 | PA      | $263827.53    | 0.01%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173468 | PA      | $169802.31    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214239 | PA      | $200397.17    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21994 | PA      | $21097.39     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2380 | PA      | $2483.21      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456986 | PA      | $453024.49    | 0.02%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2516 | PA      | $2604.44      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GPV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26260 | PA      | $23893.43     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-5INV                                               | CUSIP: 33851PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668684 | PA      | $536749.25    | 0.03%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-3                                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | PA      | $2927752.32   | 0.14%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45383 | PA      | $42911.08     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20520000 | PA      | $18171421.98  | 0.90%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B14 Mortgage Trust                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8387126 | PA      | $266311.38    | 0.01%             | 2062-12-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273398 | PA      | $264182.21    | 0.01%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417DU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108855 | PA      | $99047.07     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6190000 | PA      | $5122713.39   | 0.25%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP1 Trust                                                             | CUSIP: 67448TBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31219 | PA      | $28988.01     | 0.00%             | 2060-02-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171873 | PA      | $174851.87    | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609061 | PA      | $557856.43    | 0.03%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    785000 | PA      | $717043.46    | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV2                                              | CUSIP: 46652KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611934 | PA      | $512633.31    | 0.03%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549347 | PA      | $486184.42    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136971 | PA      | $135784.23    | 0.01%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37750 | PA      | $33984.93     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YS6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46954 | PA      | $44974.88     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183510 | PA      | $189016.86    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71006 | PA      | $73382.51     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91573 | PA      | $88169.13     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-CSMO                                          | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3315000 | PA      | $3288544.31   | 0.16%             | 2027-06-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8504 | PA      | $7919.61      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8858 | PA      | $8522.30      | 0.00%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108361 | PA      | $112031.73    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29265 | PA      | $27121.28     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47704 | PA      | $45788.19     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47035000 | PA      | $47292222.66  | 2.34%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2265000 | PA      | $1980909.43   | 0.10%             | 2027-01-30      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2362033.60   | 0.12%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16506 | PA      | $16856.13     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2019-B                                           | CUSIP: 44891JAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490000 | PA      | $1446701.79   | 0.07%             | 2026-06-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4FN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619065 | PA      | $582683.43    | 0.03%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RLGH Trust                                  | RLGH Trust 2021-TROT                                                            | CUSIP: 74969CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $187994.27    | 0.01%             | 2036-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263855 | PA      | $235172.86    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097681 | PA      | $963863.93    | 0.05%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ANL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12737 | PA      | $12003.33     | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1715000 | PA      | $1722680.46   | 0.09%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FSGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14970 | PA      | $14634.79     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    375000 | PA      | $290267.34    | 0.01%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    340000 | PA      | $262024.61    | 0.01%             | 2049-01-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37765000 | PA      | $37640452.92  | 1.86%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176015 | PA      | $149351.37    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180107 | PA      | $178448.54    | 0.01%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2444502 | PA      | $2125774.57   | 0.11%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268923 | PA      | $281069.98    | 0.01%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5393 | PA      | $5646.57      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    705000 | PA      | $600621.99    | 0.03%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       529 | PA      | $530.05       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8393 | PA      | $8728.23      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232194 | PA      | $236148.66    | 0.01%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1611598 | PA      | $1403797.72   | 0.07%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3335000 | PA      | $2911363.79   | 0.14%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $555755.28    | 0.03%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6160000 | PA      | $4701975.86   | 0.23%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2017-BRBK Mortgage Trust                                                  | CUSIP: 23305JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815000 | PA      | $1657118.23   | 0.08%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130950 | PA      | $125757.00    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5150000 | PA      | $4778822.20   | 0.24%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       143 | PA      | $145.18       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1366562.35   | 0.07%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400296 | PA      | $415618.11    | 0.02%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5895000 | PA      | $5103780.47   | 0.25%             | 2028-02-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M5L34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19183 | PA      | $18828.02     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87040 | PA      | $77907.11     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2923 | PA      | $3099.59      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6V24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73141 | PA      | $72507.03     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers Clo 43 Ltd                                       | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1920000 | PA      | $1878713.28   | 0.09%             | 2035-07-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FS2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9092 | PA      | $8884.52      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172350 | PA      | $156820.39    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12604 | PA      | $12436.43     | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218612 | PA      | $209334.04    | 0.01%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13810 | PA      | $13018.16     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6QQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2759206 | PA      | $2509081.54   | 0.12%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $162.03       | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Series 2014-3R                                                             | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117730 | PA      | $115233.76    | 0.01%             | 2037-05-27      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139641 | PA      | $134253.68    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3129325J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41423 | PA      | $40943.15     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140033 | PA      | $139134.04    | 0.01%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12273 | PA      | $11563.48     | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1813299 | PA      | $1691089.13   | 0.08%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210621 | PA      | $196427.62    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJLA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26273 | PA      | $25231.45     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133WJRM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207006 | PA      | $189862.46    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                          | Vodafone Group PLC                                                              | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   2585000 | PA      | $2295523.17   | 0.11%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15057 | PA      | $15704.47     | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1425000 | PA      | $1237159.78   | 0.06%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23228 | PA      | $23052.70     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669495 | PA      | $612573.47    | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                             | Ross Stores Inc                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2238908.53   | 0.11%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $126071.76    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4613817 | PA      | $3917454.28   | 0.19%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7600000 | PA      | $6918375.00   | 0.34%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85665 | PA      | $84153.82     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    105000 | PA      | $82130.30     | 0.00%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1663 | PA      | $1633.14      | 0.00%             | 2035-02-01      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146537 | PA      | $140729.37    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1654470.13   | 0.08%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | AmeriCredit Automobile Receivables Trust 2020-1                                 | CUSIP: 03067DAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2195000 | PA      | $2071052.96   | 0.10%             | 2025-12-18      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2186182 | PA      | $1855960.07   | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                  | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2181150 | PA      | $1803422.81   | 0.09%             | 2051-01-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45721 | PA      | $45028.16     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36440 | PA      | $29929.85     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    860000 | PA      | $840529.08    | 0.04%             | 2024-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH OF GEORGIA                   | Municipal Electric Authority of Georgia                                         | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |    326000 | PA      | $346634.31    | 0.02%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-3                                                  | CUSIP: 33851JAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970943 | PA      | $4251082.33   | 0.21%             | 2048-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| UNIV OF NORTH CAROLINA NC AT C              | University of North Carolina at Chapel Hill                                     | CUSIP: 914713K68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    150000 | PA      | $135243.00    | 0.01%             | 2034-12-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AKNH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637076 | PA      | $541049.93    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       634 | PA      | $662.61       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                     | Walt Disney Co/The                                                              | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $2103351.83   | 0.10%             | 2030-03-22      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-A                                         | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   2145794 | PA      | $2044222.78   | 0.10%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1641 | PA      | $1603.85      | 0.00%             | 2035-12-01      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30756 | PA      | $27371.15     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7452 | PA      | $7696.84      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1135587.57   | 0.06%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7YL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11848 | PA      | $12227.94     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412YFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6712 | PA      | $6941.60      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6885 | PA      | $6457.53      | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243763 | PA      | $241765.03    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178DRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6255 | PA      | $5727.23      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1655775.53   | 0.08%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312943CM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2215 | PA      | $2129.41      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5359438 | PA      | $4517664.83   | 0.22%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2021-REV2                                          | CUSIP: 345285AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2575000 | PA      | $2201180.81   | 0.11%             | 2034-05-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X42B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2896900 | PA      | $2841013.79   | 0.14%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1480546 | PA      | $1424093.63   | 0.07%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33037 | PA      | $33560.13     | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3142 | PA      | $3026.43      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3945 | PA      | $4028.93      | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3177 | PA      | $3225.63      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-DC2 Mortgage Trust                                                    | CUSIP: 12594CBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165000 | PA      | $1105390.45   | 0.05%             | 2049-02-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3118372 | PA      | $2557003.17   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58171 | PA      | $60491.82     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3820 | PA      | $3874.86      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCA6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1261227.35   | 0.06%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20487 | PA      | $20376.20     | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13153 | PA      | $12393.82     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   5165000 | PA      | $4459516.68   | 0.22%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    450000 | PA      | $460965.07    | 0.02%             | 2037-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                         | LSEGA Financing PLC                                                             | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   2835000 | PA      | $2416015.63   | 0.12%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8034 | PA      | $7457.03      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83929 | PA      | $75122.72     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8062 | PA      | $7516.08      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2021-INV3 Trust                                                             | CUSIP: 67117JAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2605930 | PA      | $1990787.49   | 0.10%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3882 | PA      | $3999.79      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2849 | PA      | $2546.62      | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3119 | PA      | $3225.75      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A26H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100285 | PA      | $93400.11     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5090000 | PA      | $4640217.06   | 0.23%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                      | Discover Financial Services                                                     | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    455000 | PA      | $440902.89    | 0.02%             | 2026-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167313 | PA      | $148946.39    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAP9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $848760.81    | 0.04%             | 2040-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FJ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8153 | PA      | $8018.06      | 0.00%             | 2025-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12449 | PA      | $12334.55     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | Ellington Financial Mortgage Trust 2021-3                                       | CUSIP: 31573JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284246 | PA      | $1011807.82   | 0.05%             | 2066-09-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKQH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3321 | PA      | $3194.52      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust                                                | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125506 | PA      | $992896.15    | 0.05%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21126 | PA      | $20408.79     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31386FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $78.44        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14747 | PA      | $14178.17     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7236 | PA      | $7524.93      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65900000 | PA      | $65905148.77  | 3.26%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co               | Sierra Timeshare 2019-1 Receivables Funding LLC                                 | CUSIP: 82653EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396763 | PA      | $381389.42    | 0.02%             | 2036-01-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198466 | PA      | $185134.64    | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23378 | PA      | $21907.65     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367761 | PA      | $363517.04    | 0.02%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5465000 | PA      | $4960720.73   | 0.25%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $7599531.25   | 0.38%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                           | CUSIP: 95003JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346729 | PA      | $278751.25    | 0.01%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2009358.25   | 0.10%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11447 | PA      | $11368.78     | 0.00%             | 2042-02-01      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568756 | PA      | $492351.43    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417Y5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92025 | PA      | $93186.94     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105977 | PA      | $102693.24    | 0.01%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                 | Equifax Inc                                                                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1516309.24   | 0.07%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506938 | PA      | $524370.58    | 0.03%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555271 | PA      | $473436.91    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                          | Essex Portfolio LP                                                              | CUSIP: 29717PAS6<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    190000 | PA      | $153753.19    | 0.01%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1631 | PA      | $1671.96      | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3598 | PA      | $3724.77      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825829 | PA      | $728008.40    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1280 | PA      | $1306.87      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5374 | PA      | $5166.71      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100171 | PA      | $89922.02     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                 | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1031873.01   | 0.05%             | 2026-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136344 | PA      | $122369.46    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2221384 | PA      | $2027802.80   | 0.10%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XX Ltd                                                             | CUSIP: 87166VAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4105000 | PA      | $3970814.53   | 0.20%             | 2032-01-16      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2020-3 Mortgage Loan Trust                                                 | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202115 | PA      | $188864.71    | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6198 | PA      | $6329.83      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5791 | PA      | $5268.93      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VII Ltd                                                                    | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3226610 | PA      | $3186544.31   | 0.16%             | 2029-07-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119640 | PA      | $117899.80    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17649 | PA      | $18379.07     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36207H2F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       505 | PA      | $504.94       | 0.00%             | 2026-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                    | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $576206.22    | 0.03%             | 2026-03-28      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30406 | PA      | $31757.53     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $562493.57    | 0.03%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31409BCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2948 | PA      | $3057.47      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749850 | PA      | $630211.09    | 0.03%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BSL84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19842 | PA      | $19263.57     | 0.00%             | 2046-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    855000 | PA      | $839418.80    | 0.04%             | 2024-03-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406393 | PA      | $380070.64    | 0.02%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35748 | PA      | $33422.76     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   7605000 | PA      | $5444054.84   | 0.27%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $4140470.25   | 0.20%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| General Motors                              | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $461218.02    | 0.02%             | 2025-08-15      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NWAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17761 | PA      | $16159.90     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941UZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123234 | PA      | $124933.22    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                      | APA Infrastructure Ltd                                                          | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   2775000 | PA      | $2672196.52   | 0.13%             | 2025-03-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7435 | PA      | $7694.23      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMTQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310642 | PA      | $321253.35    | 0.02%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1014047.65   | 0.05%             | 2029-03-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2748450 | PA      | $2549652.03   | 0.13%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                    | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70764.87     | 0.00%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                          | Realty Income Corp                                                              | CUSIP: 756109BK9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    315000 | PA      | $275156.74    | 0.01%             | 2029-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68050 | PA      | $67459.91     | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $92563.97     | 0.00%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2120509.82   | 0.10%             | 2036-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                       | Arrow Electronics Inc                                                           | CUSIP: 042735BE9<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $2878708.69   | 0.14%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W4S69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4929 | PA      | $4484.50      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2016-A                                         | CUSIP: 78449FAB7<br>LEI: 54930039BHEBCRK29U41 | Long             | ABS-O            | CORP              | US        |    182703 | PA      | $174942.84    | 0.01%             | 2031-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST DEV FIN CORP EDUCTN              | Florida Development Finance Corp                                                | CUSIP: 34061UEQ7<br>LEI: 549300HC854CNBLMWC48 | Long             | DBT              | MUN               | US        |    610000 | PA      | $461295.42    | 0.02%             | 2050-04-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2019-INV3                                            | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506549 | PA      | $475507.07    | 0.02%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE               | Metropolitan Transportation Authority                                           | CUSIP: 59259YCA5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    410000 | PA      | $421673.98    | 0.02%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C38                                  | CUSIP: 95001MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1047584.40   | 0.05%             | 2050-07-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XTHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2694 | PA      | $2588.02      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                      | APA Infrastructure Ltd                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   1985000 | PA      | $1841193.90   | 0.09%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-LTV1                                              | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138383 | PA      | $133173.23    | 0.01%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-HP1                                    | CUSIP: 36262RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000980 | PA      | $2565486.71   | 0.13%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2926623 | PA      | $2711958.04   | 0.13%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54795 | PA      | $54045.13     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4673 | PA      | $4395.41      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12576 | PA      | $11851.71     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C0X60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25960 | PA      | $26420.96     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W6GB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44162 | PA      | $40183.32     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450000 | PA      | $1395742.74   | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4535000 | PA      | $4287163.16   | 0.21%             | 2028-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2415300 | PA      | $2204876.19   | 0.11%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123452 | PA      | $129111.91    | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EK2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9316 | PA      | $8825.63      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                                              | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457435 | PA      | $404759.34    | 0.02%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4427 | PA      | $4578.56      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    510000 | PA      | $467825.36    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11757 | PA      | $11342.47     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2247 | PA      | $2228.03      | 0.00%             | 2037-02-01      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC29                                   | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4385730 | PA      | $81173.29     | 0.00%             | 2048-04-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2021-1                                      | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1385000 | PA      | $1330967.55   | 0.07%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2250467.91   | 0.11%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238600 | PA      | $229399.89    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312933Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25172 | PA      | $24886.24     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5017 | PA      | $4795.17      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461041 | PA      | $432764.03    | 0.02%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61 | PA      | $62.44        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66936 | PA      | $64353.18     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10438 | PA      | $10091.60     | 0.00%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98738.46     | 0.00%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                        | Woodside Finance Ltd                                                            | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   2715000 | PA      | $2532319.05   | 0.13%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       976 | PA      | $974.49       | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62378 | PA      | $55967.80     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335172 | PA      | $286508.98    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   4205000 | PA      | $4038845.65   | 0.20%             | 2027-04-02      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59162 | PA      | $48611.05     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMPE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6655 | PA      | $6436.42      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | AmeriCredit Automobile Receivables Trust 2021-2                                 | CUSIP: 03066RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3000247.14   | 0.15%             | 2027-01-19      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59282 | PA      | $59870.91     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85652 | PA      | $79978.96     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AUX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7678 | PA      | $7609.26      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5331427 | PA      | $5120104.15   | 0.25%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   7575000 | PA      | $6205858.22   | 0.31%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NTHRN CA PWR AGY REVENUE                    | Northern California Power Agency                                                | CUSIP: 664845DQ4<br>LEI: 549300QYTU4PHD2XHS96 | Long             | DBT              | MUN               | US        |    200000 | PA      | $230500.85    | 0.01%             | 2040-06-01      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   2073975 | PA      | $1688800.97   | 0.08%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54144 | PA      | $51012.84     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213395 | PA      | $201287.85    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204037 | PA      | $201682.93    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2014-GC21                                   | CUSIP: 17322MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1980000 | PA      | $1898733.87   | 0.09%             | 2047-05-10      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2365000 | PA      | $2065048.66   | 0.10%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JASH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69816 | PA      | $65211.78     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418APE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11737 | PA      | $11060.33     | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6WY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2547883 | PA      | $2382553.57   | 0.12%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ASLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9951 | PA      | $9858.33      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FN44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5983 | PA      | $5874.84      | 0.00%             | 2026-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84538 | PA      | $85115.80     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                  | Hasbro Inc                                                                      | CUSIP: 418056AY3<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1313405.07   | 0.06%             | 2026-11-19      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2015-C31                             | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130219 | PA      | $123817.40    | 0.01%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269348 | PA      | $243298.81    | 0.01%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9436 | PA      | $9625.42      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8589 | PA      | $8235.80      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                          | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $983693.66    | 0.05%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1383651.65   | 0.07%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-C31                                  | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2392435 | PA      | $51106.24     | 0.00%             | 2048-11-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FUNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25216 | PA      | $24735.72     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9WH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16479 | PA      | $14644.30     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627510 | PA      | $614787.13    | 0.03%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416CD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3394 | PA      | $3542.51      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus              | BSREP Commercial Mortgage Trust 2021-DC                                         | CUSIP: 05591UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2310000 | PA      | $2058821.46   | 0.10%             | 2038-08-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4455000 | PA      | $3619269.00   | 0.18%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18065 | PA      | $18654.52     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4354505 | PA      | $3910158.88   | 0.19%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                   | Apple Inc                                                                       | CUSIP: 037833DQ0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    225000 | PA      | $160667.36    | 0.01%             | 2049-09-11      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YGXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49726 | PA      | $46238.59     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68581.44     | 0.00%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48349 | PA      | $50449.71     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16788 | PA      | $15742.35     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6522918 | PA      | $5466166.20   | 0.27%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281563 | PA      | $1052484.47   | 0.05%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13510277 | PA      | $11360657.98  | 0.56%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101035 | PA      | $104562.64    | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411GGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2377 | PA      | $2412.86      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31414GMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22921 | PA      | $23727.79     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46780000 | PA      | $41831553.13  | 2.07%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $270741.22    | 0.01%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBF5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   9220000 | PA      | $8914914.35   | 0.44%             | 2028-11-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5299335 | PA      | $4742182.53   | 0.23%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14967 | PA      | $14407.91     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25667 | PA      | $24799.51     | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225366 | PA      | $235280.78    | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9AA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5784 | PA      | $5427.38      | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038564 | PA      | $997079.46    | 0.05%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       621 | PA      | $620.28       | 0.00%             | 2036-12-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34934 | PA      | $33554.85     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1903 | PA      | $1829.36      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321508 | PA      | $302914.42    | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366677 | PA      | $369260.43    | 0.02%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41189 | PA      | $40831.60     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                        | Parker-Hannifin Corp                                                            | CUSIP: 701094AR5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    785000 | PA      | $762799.45    | 0.04%             | 2027-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52635 | PA      | $47079.69     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1750000 | PA      | $1313593.75   | 0.06%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14497 | PA      | $14502.72     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $215704.30    | 0.01%             | 2033-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       257 | PA      | $262.90       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54072 | PA      | $54289.56     | 0.00%             | 2040-12-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193EPR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22409 | PA      | $20902.98     | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP2 Trust                                                             | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169717 | PA      | $144850.54    | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16                   | CUSIP: 46641BAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745000 | PA      | $730842.17    | 0.04%             | 2046-12-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16950 | PA      | $16773.27     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-1                                                 | CUSIP: 03465CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1446661 | PA      | $1168451.07   | 0.06%             | 2066-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-1                                               | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149765 | PA      | $124809.11    | 0.01%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625581 | PA      | $595305.83    | 0.03%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFA97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25855 | PA      | $25247.47     | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393536 | PA      | $406543.57    | 0.02%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31336CMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       388 | PA      | $381.68       | 0.00%             | 2035-07-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5023 | PA      | $4976.41      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3907548 | PA      | $3631492.73   | 0.18%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1044673.11   | 0.05%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300011 | PA      | $288119.21    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2018-GS9                                           | CUSIP: 36255NAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $169314.91    | 0.01%             | 2051-03-10      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29734 | PA      | $28604.08     | 0.00%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    665000 | PA      | $634360.83    | 0.03%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2020-A                                               | CUSIP: 60700MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1580000 | PA      | $1378594.24   | 0.07%             | 2030-08-09      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7TB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4914 | PA      | $4877.23      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2119993 | PA      | $2018909.59   | 0.10%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12227 | PA      | $11376.99     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32861 | PA      | $33983.69     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51220 | PA      | $47922.97     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312062 | PA      | $311451.68    | 0.02%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1100247.15   | 0.05%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168574 | PA      | $158825.20    | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1403301 | PA      | $1301660.67   | 0.06%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416CME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1473 | PA      | $1481.13      | 0.00%             | 2024-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC23 Mortgage Trust                                                   | CUSIP: 12636FBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902621 | PA      | $892034.15    | 0.04%             | 2048-10-10      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471677 | PA      | $429177.54    | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410124 | PA      | $383014.23    | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                         | LSEGA Financing PLC                                                             | CUSIP: 50220PAD5<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   2110000 | PA      | $1744644.85   | 0.09%             | 2031-04-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BDP41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3978336 | PA      | $3492134.11   | 0.17%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-ROSS                                     | CUSIP: 36264YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185000 | PA      | $1972956.89   | 0.10%             | 2026-05-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust              | Carvana Auto Receivables Trust 2021-N4                                          | CUSIP: 14687HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6465000 | PA      | $5869947.82   | 0.29%             | 2028-09-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    920000 | PA      | $814979.24    | 0.04%             | 2026-03-25      | Fixed         | 1.67%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    385000 | PA      | $367313.64    | 0.02%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46759 | PA      | $46405.59     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26201 | PA      | $24210.06     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2909922 | PA      | $2480601.61   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94016.49     | 0.00%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17680669 | PA      | $15342722.45  | 0.76%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181532 | PA      | $180091.50    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL MET WTR RECLAMATION              | Metropolitan Water Reclamation District of Greater Chicago                      | CUSIP: 167560PL9<br>LEI: 254900GOGQEZEWCZ4D37 | Long             | DBT              | MUN               | US        |    210000 | PA      | $220197.89    | 0.01%             | 2038-12-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6727917 | PA      | $6366921.15   | 0.31%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401306 | PA      | $359625.69    | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2218755.75   | 0.11%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8618 | PA      | $8254.64      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416B6Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26132 | PA      | $26775.83     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521853 | PA      | $83733.05     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2019-V Ltd                                                         | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7125000 | PA      | $6935313.26   | 0.34%             | 2035-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93574 | PA      | $95146.32     | 0.00%             | 2041-07-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       214 | NC      | $-10312.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    545000 | PA      | $521537.42    | 0.03%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47549 | PA      | $47456.20     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8891 | PA      | $7906.65      | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NWAN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10605 | PA      | $9649.38      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2435000 | PA      | $2142830.68   | 0.11%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV              | Colorado Health Facilities Authority                                            | CUSIP: 19648FRZ9<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |   4520000 | PA      | $3662293.16   | 0.18%             | 2040-12-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97211 | PA      | $93659.70     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2792 | PA      | $2838.36      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1535 | PA      | $1540.53      | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254BS8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5850000 | PA      | $5272511.40   | 0.26%             | 2031-04-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQ7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78673 | PA      | $73762.95     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86441 | PA      | $82849.96     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GGA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2162737.86   | 0.11%             | 2027-10-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9C32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74437 | PA      | $69620.61     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  17115000 | PA      | $16005734.06  | 0.79%             | 2032-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983107 | PA      | $918416.55    | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX 2021-MFM1                                                                    | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $430617.38    | 0.02%             | 2034-01-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41889 | PA      | $42465.82     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31415BAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81 | PA      | $81.08        | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77491 | PA      | $73410.07     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2021-JACX                            | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $1178654.46   | 0.06%             | 2038-09-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LNFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1179073 | PA      | $1017827.03   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41946 | PA      | $40546.87     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10555 | PA      | $10778.41     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537033 | PA      | $549042.81    | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413NEV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5076 | PA      | $5152.28      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122624 | PA      | $114279.71    | 0.01%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1554 | PA      | $1580.18      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11713 | PA      | $11223.68     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44632 | PA      | $45679.23     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372239 | PA      | $317612.14    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31283HYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8608 | PA      | $8911.92      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360666 | PA      | $354346.51    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497721 | PA      | $477981.12    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449442 | PA      | $407109.50    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191704 | PA      | $173706.76    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4150 | PA      | $3989.71      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38213 | PA      | $37881.97     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1107565.57   | 0.05%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XF2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8872155 | PA      | $8117871.74   | 0.40%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2299679 | PA      | $1873854.21   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE23 Mortgage Trust                                                 | CUSIP: 12593AAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198736 | PA      | $190054.62    | 0.01%             | 2048-05-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       695 | PA      | $716.97       | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4335000 | PA      | $3729854.46   | 0.18%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409056 | PA      | $405968.20    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ST PRIV ACTIVITY BOND SU              | Texas Private Activity Bond Surface Transportation Corp                         | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    480000 | PA      | $358518.20    | 0.02%             | 2049-12-31      | Fixed         | 3.92%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417DTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56450 | PA      | $52834.31     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133APV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2032257 | PA      | $1725394.78   | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-6                                                 | CUSIP: 03465JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264768 | PA      | $966013.92    | 0.05%             | 2066-09-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706915 | PA      | $1639293.33   | 0.08%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73601 | PA      | $76838.49     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36193VFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39050 | PA      | $36366.24     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228032 | PA      | $193628.46    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-INV1                                              | CUSIP: 46591VBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274906 | PA      | $253194.61    | 0.01%             | 2050-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687595 | PA      | $637579.38    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2535000 | PA      | $2058103.13   | 0.10%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       872 | PA      | $891.59       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJPV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7102 | PA      | $7048.66      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77541 | PA      | $78850.46     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91361 | PA      | $87509.74     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127621 | PA      | $119326.88    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214908 | PA      | $216385.03    | 0.01%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2021-4                                                 | CUSIP: 03464EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081226 | PA      | $806084.23    | 0.04%             | 2065-01-20      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40922 | PA      | $40602.04     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17558 | PA      | $16512.30     | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404675 | PA      | $361832.42    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA ST PUBLIC SVC A              | South Carolina Public Service Authority                                         | CUSIP: 837151WM7<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |    120000 | PA      | $117351.47    | 0.01%             | 2023-12-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25332 | PA      | $25282.17     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203207 | PA      | $209359.32    | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3290000 | PA      | $2184251.56   | 0.11%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5958 | PA      | $6098.31      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60485000 | PA      | $49257471.88  | 2.43%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38766 | PA      | $39055.49     | 0.00%             | 2042-01-01      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322458 | PA      | $299182.16    | 0.01%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     42740 | PA      | $42531.56     | 0.00%             | 2030-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715362 | PA      | $1485312.52   | 0.07%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247170 | PA      | $231004.35    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125320 | PA      | $127455.66    | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4411 | PA      | $4388.51      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Advanced Series Trust

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Treasurer and Principal Financial and Accounting Officer