# EDGAR Filing Document

**Accession Number:** 0000770540
**File Stem:** 0001752724-23-046338
**Filing Date:** 2023-2
**Character Count:** 395133
**Document Hash:** 0c7849620f00443fddc4af76a3bed7a3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046338.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046338

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Natixis Funds Trust I
- **CENTRAL INDEX KEY:** 0000770540
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04323
- **FILM NUMBER:** 23682170

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** IXIS Advisor Funds Trust I
- **DATE OF NAME CHANGE:** 20050502

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CDC NVEST FUNDS TRUST I
- **DATE OF NAME CHANGE:** 20010503

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NVEST FUNDS TRUST I
- **DATE OF NAME CHANGE:** 20000202

## Series and Classes Contracts Data

### Loomis Sayles Core Plus Bond Fund (Series ID: S000006660)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000018168 | Class A      | NEFRX           |
| C000018170 | Class C      | NECRX           |
| C000018171 | Class Y      | NERYX           |
| C000125481 | Class N      | NERNX           |

## Nport-Ex

**PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)** 

**Loomis Sayles Core Plus Bond Fund** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – 91.0% of Net Assets** | **Bonds and Notes – 91.0% of Net Assets** |  |
| **Non-Convertible Bonds – 90.9%** | **Non-Convertible Bonds – 90.9%** |  |
|  | **ABS Car Loan – 1.4%** | **ABS Car Loan – 1.4%** |
| $2396000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class A, <br>4.000%, 3/20/2025, 144A | $2355547 |
| 6444000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, <br>3.350%, 9/22/2025, 144A | 6226053 |
| 7064000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, <br>2.020%, 2/20/2027, 144A | 6401612 |
| 8160000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, <br>3.830%, 8/21/2028, 144A | 7854114 |
| 1066905 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, <br>0.570%, 9/15/2025 | 1059663 |
| 3525000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class C, <br>0.980%, 6/15/2026 | 3387481 |
| 2065000 | Santander Bank Auto Credit-Linked Notes, Series 2022-C,Class B, <br>6.451%, 12/15/2032, 144A | 2064624 |
| 1310000 | Santander Bank Auto Credit-Linked Notes, Series 2022-C,Class C, <br>6.986%, 12/15/2032, 144A | 1309764 |
| 6705237 | Santander Drive Auto Receivables Trust, Series 2021-1, Class C, <br>0.750%, 2/17/2026 | 6589292 |
| 8315000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class C, <br>0.900%, 6/15/2026 | 8088717 |
| 9095000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, <br>0.950%, 9/15/2027 | 8747973 |
| 19695000 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B, <br>3.440%, 9/15/2027 | 18970145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6865000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class C, <br>4.850%, 9/15/2027, 144A | 6674016 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79729001 |
|  | **ABS Home Equity – 0.3%** | **ABS Home Equity – 0.3%** |
| 2836921 | CoreVest American Finance Trust, Series 2019-3, Class A, <br>2.705%, 10/15/2052, 144A | 2656676 |
| 12026 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, <br>5.115%, 2/25/2035(a) | 11869 |
| 1004981 | OBX Trust, Series 2018-EXP1, Class 1A3, <br>4.000%, 4/25/2048, 144A(a) | 917479 |
| 109667 | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, <br>4.000%, 8/25/2047, 144A(a) | 102335 |
| 489901 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, <br>4.000%, 3/25/2048, 144A(a) | 451646 |
| 254872 | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, <br>4.000%, 8/25/2048, 144A(a) | 246536 |
| 1298545 | Towd Point Mortgage Trust, Series 2015-1, Class A5, <br>3.638%, 10/25/2053, 144A(a) | 1252165 |
| 4254377 | Towd Point Mortgage Trust, Series 2015-4, Class M2, <br>3.750%, 4/25/2055, 144A(a) | 4124126 |
| 5101352 | Towd Point Mortgage Trust, Series 2016-2, Class M2, <br>3.000%, 8/25/2055, 144A(a) | 4652850 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **ABS Home Equity – continued** | **ABS Home Equity – continued** | **ABS Home Equity – continued** |
| $4742622 | Towd Point Mortgage Trust, Series 2018-3, Class A1, <br>3.750%, 5/25/2058, 144A(a) | $| 4483615 |
|  |  |  | 18899297 |
|  | **ABS Other – 1.6%** | **ABS Other – 1.6%** | **ABS Other – 1.6%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9502578 | CLI Funding VIII LLC, Series 2021-1A, Class A, <br>1.640%, 2/18/2046, 144A |  | 8102601 |
| 14652000 | DB Master Finance LLC, Series 2021-1A, Class A2II, <br>2.493%, 11/20/2051, 144A |  | 12042874 |
| 6404196 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, <br>0.560%, 12/11/2034, 144A |  | 6188606 |
| 8116400 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, <br>3.445%, 2/26/2052, 144A |  | 7036464 |
| 13657025 | Jack in the Box Funding LLC, Series 2022-1A, Class A2II, <br>4.136%, 2/26/2052, 144A |  | 10709047 |
| 6788374 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, <br>2.636%, 10/15/2046, 144A |  | 5548125 |
| 9380907 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, <br>2.771%, 11/15/2046, 144A(a) |  | 7879509 |
| 3476492 | OneMain Financial Issuance Trust, Series 2020-1A, Class A, <br>3.840%, 5/14/2032, 144A |  | 3446924 |
| 13500000 | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, <br>30-day Average SOFR + 0.760%, 4.567%, 6/16/2036, 144A(b) |  | 12851203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19483600 | Textainer Marine Containers Ltd., Series 2021-3A, Class A, <br>1.940%, 8/20/2046, 144A |  | 15811195 |
| 3304252 | Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, <br>2.100%, 9/20/2045, 144A |  | 2879398 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92495946 |
|  | **ABS Student Loan – 0.3%** | **ABS Student Loan – 0.3%** | **ABS Student Loan – 0.3%** |
| 3926306 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, <br>1.310%, 1/15/2069, 144A |  | 3523765 |
| 9527825 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, <br>1.060%, 10/15/2069, 144A |  | 8131102 |
| 3700049 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, <br>1.070%, 1/15/2053, 144A |  | 3172645 |
| 2607206 | SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, <br>2.540%, 5/15/2046, 144A |  | 2359306 |
|  |  |  | 17186818 |
|  | **ABS Whole Business – 0.3%** | **ABS Whole Business – 0.3%** | **ABS Whole Business – 0.3%** |
| 5436215 | Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, <br>2.662%, 4/25/2051, 144A |  | 4573167 |
| 4749113 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, <br>3.251%, 12/05/2051, 144A |  | 4164202 |
| 12019175 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, <br>4.008%, 12/05/2051, 144A |  | 9392841 |
|  |  |  | 18130210 |
|  | **Aerospace & Defense – 0.7%** | **Aerospace & Defense – 0.7%** | **Aerospace & Defense – 0.7%** |
| 13774000 | Boeing Co. (The), <br>5.705%, 5/01/2040 |  | 13134370 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Aerospace & Defense – continued** | **Aerospace & Defense – continued** | **Aerospace & Defense – continued** |
| $17264000 | Boeing Co. (The), <br>5.805%, 5/01/2050 | $| 16006764 |
| 11659000 | Embraer Netherlands Finance BV, <br>5.050%, 6/15/2025 |  | 11315176 |
| 1329000 | Textron, Inc., <br>3.000%, 6/01/2030 |  | 1129420 |
|  |  |  | 41585730 |
|  | **Agency Commercial Mortgage-Backed Securities – 0.7%** | **Agency Commercial Mortgage-Backed Securities – 0.7%** | **Agency Commercial Mortgage-Backed Securities – 0.7%** |
| 1598000 | FHLMC, <br>3.100%, 6/01/2037 |  | 1309497 |
| 2103000 | FHLMC, <br>3.100%, 6/01/2037 |  | 1723325 |
| 1725000 | FHLMC, <br>3.100%, 6/01/2037 |  | 1413569 |
| 6127930 | FHLMC, <br>3.350%, 8/01/2037 |  | 5275301 |
| 3666189 | FHLMC, <br>3.450%, 5/01/2037 |  | 3232266 |
| 1263084 | FHLMC, <br>3.700%, 5/01/2037 |  | 1140183 |
| 8704052 | FHLMC, <br>3.750%, 5/01/2037 |  | 7809154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2102956 | FHLMC, <br>3.900%, 7/01/2037 |  | 1913605 |
| 2105511 | FHLMC, <br>3.900%, 7/01/2037 |  | 1918814 |
| 7013000 | FNMA, <br>3.850%, 9/01/2037 |  | 6260418 |
| 160000 | FNMA, <br>3.940%, 9/01/2032 |  | 152855 |
| 6633566 | FNMA, <br>4.240%, 7/01/2038 |  | 6143219 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38292206 |
|  | **Airlines – 0.6%** | **Airlines – 0.6%** | **Airlines – 0.6%** |
| 5874112 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., <br>5.500%, 4/20/2026, 144A |  | 5648819 |
| 5620467 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., <br>5.750%, 4/20/2029, 144A |  | 5136859 |
| 1483822 | Continental Airlines Pass Through Trust, Series 2012-2A, <br>4.000%, 4/29/2026 |  | 1411426 |
| 14151433 | Delta Air Lines, Inc./SkyMiles IP Ltd., <br>4.750%, 10/20/2028, 144A |  | 13301968 |
| 3745992 | United Airlines Pass Through Trust, Series 2020-1, Class B, <br>4.875%, 7/15/2027 |  | 3526402 |
| 2266000 | United Airlines, Inc., <br>4.375%, 4/15/2026, 144A |  | 2100414 |
| 2333000 | United Airlines, Inc., <br>4.625%, 4/15/2029, 144A |  | 2031333 |
|  |  |  | 33157221 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |
|  | **Automotive – 1.2%** | **Automotive – 1.2%** |
| $2945000 | Dana, Inc., <br>4.250%, 9/01/2030 | $2372551 |
| 16142000 | General Motors Co., <br>5.000%, 4/01/2035 | 13899888 |
| 5067000 | General Motors Financial Co., Inc., <br>2.900%, 2/26/2025 | 4799234 |
| 10719000 | Goodyear Tire & Rubber Co. (The), <br>5.625%, 4/30/2033 | 8749933 |
| 4091000 | Hyundai Capital America, <br>2.375%, 10/15/2027, 144A | 3499986 |
| 10356000 | Hyundai Capital America, <br>2.650%, 2/10/2025, 144A | 9738730 |
| 7453000 | Hyundai Capital America, <br>3.000%, 2/10/2027, 144A | 6688472 |
| 12381000 | Lear Corp., <br>5.250%, 5/15/2049 | 10136872 |
| 7676000 | Nissan Motor Co. Ltd., <br>3.043%, 9/15/2023, 144A | 7520724 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67406390 |
|  | **Banking – 6.6%** | **Banking – 6.6%** |
| 15905000 | Ally Financial, Inc., <br>3.050%, 6/05/2023 | 15724998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10051000 | Banco Santander Chile, <br>2.700%, 1/10/2025, 144A | 9534449 |
| 11000000 | Banco Santander S.A., <br>1.849%, 3/25/2026 | 9709031 |
| 3200000 | Banco Santander S.A., <br>2.958%, 3/25/2031 | 2543695 |
| 15850000 | Bangkok Bank PCL, <br>4.050%, 3/19/2024, 144A | 15615495 |
| 26146000 | Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), <br>0.976%, 4/22/2025 | 24513284 |
| 24210000 | Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, <br>3.559%, 4/23/2027 | 22681623 |
| 18664000 | Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), <br>3.811%, 3/10/2042 | 12596900 |
| 7864000 | BBVA Bancomer S.A., <br>1.875%, 9/18/2025, 144A | 7126750 |
| 13513000 | BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), <br>1.323%, 1/13/2027, 144A | 11810711 |
| 26613000 | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), <br>2.819%, 11/19/2025, 144A | 25209920 |
| 1154000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), <br>0.981%, 5/01/2025 | 1080653 |
| 4540000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), <br>9.016%, 11/15/2033, 144A | 4648357 |
| 690000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), <br>6.373%, 7/15/2026, 144A | 647806 |
| 7695000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), <br>6.442%, 8/11/2028, 144A | 7009068 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Banking – continued** | **Banking – continued** | **Banking – continued** |
| $9038000 | Deutsche Bank AG, <br>1.686%, 3/19/2026 | $| 8099442 |
| 8585000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), <br>3.742%, 1/07/2033 |  | 6096858 |
| 6737000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), <br>3.729%, 1/14/2032 |  | 4939661 |
| 9985000 | Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), <br>2.129%, 11/24/2026 |  | 8808847 |
| 12486000 | Goldman Sachs Group, Inc. (The), <br>6.750%, 10/01/2037 |  | 13322852 |
| 1326000 | HSBC Holdings PLC, <br>4.950%, 3/31/2030 |  | 1264609 |
| 13610000 | HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), <br>0.976%, 5/24/2025 |  | 12601255 |
| 4740000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), <br>4.198%, 6/01/2032, 144A |  | 3493712 |
| 22355000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), <br>2.739%, 10/15/2030 |  | 18747262 |
| 11576000 | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), <br>2.956%, 5/13/2031 |  | 9538112 |
| 11895000 | Macquarie Bank Ltd., <br>3.231%, 3/21/2025, 144A |  | 11442208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16028000 | Morgan Stanley, (fixed rate to 4/05/2023, variable rate thereafter), <br>0.731%, 4/05/2024 |  | 15798117 |
| 5931000 | Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), <br>3.591%, 7/22/2028 |  | 5440214 |
| 8220000 | Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), <br>2.490%, 1/06/2028 |  | 7052617 |
| 8050000 | Santander UK Group Holdings PLC, <br>5.625%, 9/15/2045, 144A |  | 6158441 |
| 24503000 | Societe Generale S.A., <br>2.625%, 1/22/2025, 144A |  | 23036213 |
| 18840000 | Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), <br>3.603%, 1/12/2033, 144A |  | 14289198 |
| 22346000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), <br>2.819%, 1/30/2026, 144A |  | 20779443 |
| 5660000 | Sumitomo Mitsui Financial Group, Inc., <br>1.474%, 7/08/2025 |  | 5157208 |
| 8213000 | Sumitomo Mitsui Financial Group, Inc., <br>3.040%, 7/16/2029 |  | 7101429 |
| 14630000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), <br>1.982%, 6/03/2027, 144A |  | 12472337 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;386092775 |
|  | **Building Materials – 0.5%** | **Building Materials – 0.5%** | **Building Materials – 0.5%** |
| 13390000 | American Builders & Contractors Supply Co., Inc., <br>3.875%, 11/15/2029, 144A |  | 10943245 |
| 8962000 | Cemex SAB de CV, <br>3.875%, 7/11/2031, 144A |  | 7564241 |
| 12838000 | Mohawk Industries, Inc., <br>3.625%, 5/15/2030 |  | 11055315 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Building Materials – continued** | **Building Materials – continued** | **Building Materials – continued** |
| $17000 | Summit Materials LLC/Summit Materials Finance Corp., <br>5.250%, 1/15/2029, 144A | $| 15828 |
|  |  |  | 29578629 |
|  | **Cable Satellite – 0.7%** | **Cable Satellite – 0.7%** | **Cable Satellite – 0.7%** |
| 14940000 | CCO Holdings LLC/CCO Holdings Capital Corp., <br>4.250%, 1/15/2034, 144A |  | 11026392 |
| 20290000 | Charter Communications Operating LLC/Charter Communications Operating Capital, <br>5.500%, 4/01/2063 |  | 15471336 |
| 2885000 | Time Warner Cable LLC, <br>4.500%, 9/15/2042 |  | 2112122 |
| 783000 | Time Warner Cable LLC, <br>5.500%, 9/01/2041 |  | 649792 |
| 2245000 | Time Warner Cable LLC, <br>5.875%, 11/15/2040 |  | 1955904 |
| 7162000 | Time Warner Cable LLC, <br>6.550%, 5/01/2037 |  | 6818661 |
| 1707000 | Time Warner Cable LLC, <br>6.750%, 6/15/2039 |  | 1616536 |
|  |  |  | 39650743 |
|  | **Chemicals – 1.2%** | **Chemicals – 1.2%** | **Chemicals – 1.2%** |
| 1610000 | Alpek SAB de CV, <br>3.250%, 2/25/2031, 144A |  | 1341535 |
| 2595000 | Ashland LLC, <br>3.375%, 9/01/2031, 144A |  | 2074108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20353000 | Braskem America Finance Co., <br>7.125%, 7/22/2041, 144A |  | 19288765 |
| 6925000 | Celanese U.S. Holdings LLC, <br>6.050%, 3/15/2025 |  | 6898057 |
| 2795000 | Celanese U.S. Holdings LLC, <br>6.330%, 7/15/2029 |  | 2715738 |
| 5370000 | Celanese U.S. Holdings LLC, <br>6.379%, 7/15/2032 |  | 5106590 |
| 6317000 | Koppers, Inc., <br>6.000%, 2/15/2025, 144A |  | 6001150 |
| 7271000 | Orbia Advance Corp. SAB de CV, <br>5.875%, 9/17/2044, 144A |  | 6316681 |
| 9466000 | Orbia Advance Corp. SAB de CV, <br>6.750%, 9/19/2042, 144A |  | 9151292 |
| 2130000 | Sociedad Quimica y Minera de Chile S.A., <br>3.500%, 9/10/2051, 144A |  | 1568660 |
| 10424000 | Sociedad Quimica y Minera de Chile S.A., <br>4.250%, 1/22/2050, 144A |  | 8833714 |
| 3031000 | Univar Solutions USA, Inc., <br>5.125%, 12/01/2027, 144A |  | 2874449 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72170739 |
|  | **Collateralized Mortgage Obligations – 0.1%** | **Collateralized Mortgage Obligations – 0.1%** | **Collateralized Mortgage Obligations – 0.1%** |
| 217603 | Government National Mortgage Association, Series 2010-H24, Class FA, <br>1-month LIBOR + 0.350%, 4.192%, 10/20/2060(b) |  | 215439 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $144638 | Government National Mortgage Association, Series 2012-H18, Class NA, <br>1-month LIBOR + 0.520%, 4.362%, 8/20/2062(b) | $| 143635 |
| 784 | Government National Mortgage Association, Series 2013-H01, Class FA, <br>1.650%, 1/20/2063(c) |  | 682 |
| 12459 | Government National Mortgage Association, Series 2013-H03, Class HA, <br>1.750%, 12/20/2062(c) |  | 10909 |
| 10131 | Government National Mortgage Association, Series 2013-H04, Class BA, <br>1.650%, 2/20/2063(c) |  | 9132 |
| 84151 | Government National Mortgage Association, Series 2013-H10, Class PA, <br>2.500%, 4/20/2063(c) |  | 75615 |
| 6989604 | Government National Mortgage Association, Series 2015-H10, Class JA, <br>2.250%, 4/20/2065 |  | 6739386 |
| 6822 | Government National Mortgage Association, Series 2015-H13, Class FL, <br>1-month LIBOR + 0.280%, 4.122%, 5/20/2063(b)(c) |  | 6492 |
|  |  |  | 7201290 |
|  | **Consumer Cyclical Services – 0.0%** | **Consumer Cyclical Services – 0.0%** | **Consumer Cyclical Services – 0.0%** |
| 1791000 | Expedia Group, Inc., <br>6.250%, 5/01/2025, 144A |  | 1806182 |
|  | **Consumer Products – 0.3%** | **Consumer Products – 0.3%** | **Consumer Products – 0.3%** |
| 2157000 | Kimberly-Clark de Mexico SAB de CV, <br>2.431%, 7/01/2031, 144A |  | 1724327 |
| 5250000 | Natura &Co Luxembourg Holdings S.a.r.l., <br>6.000%, 4/19/2029, 144A |  | 4592543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11615000 | Natura Cosmeticos S.A., <br>4.125%, 5/03/2028, 144A |  | 9477956 |
| 5155000 | Valvoline, Inc., <br>3.625%, 6/15/2031, 144A |  | 4229832 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20024658 |
|  | **Electric – 1.7%** | **Electric – 1.7%** | **Electric – 1.7%** |
| 3587000 | AES Corp. (The), <br>3.300%, 7/15/2025, 144A |  | 3382184 |
| 1609000 | AES Corp. (The), <br>3.950%, 7/15/2030, 144A |  | 1419138 |
| 10104000 | Calpine Corp., <br>5.000%, 2/01/2031, 144A |  | 8476285 |
| 12220000 | CenterPoint Energy, Inc., <br>SOFR Index + 0.650%, 4.776%, 5/13/2024(b) |  | 12077716 |
| 12579000 | Clearway Energy Operating LLC, <br>3.750%, 2/15/2031, 144A |  | 10443702 |
| 21248458 | Cometa Energia S.A. de CV, <br>6.375%, 4/24/2035, 144A |  | 20374147 |
| 2415000 | DPL, Inc., <br>4.350%, 4/15/2029 |  | 2166241 |
| 852000 | Edison International, <br>4.950%, 4/15/2025 |  | 837858 |
| 2811000 | Enel Americas S.A., <br>4.000%, 10/25/2026 |  | 2674301 |
| 1348000 | Enel Generacion Chile S.A., <br>4.250%, 4/15/2024 |  | 1329627 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Electric – continued** | **Electric – continued** | **Electric – continued** |
| $4316000 | Entergy Corp., <br>2.800%, 6/15/2030 | $| 3645461 |
| 14622000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), <br>4.750%, 4/30/2043 |  | 13560773 |
| 3800000 | NRG Energy, Inc., <br>3.875%, 2/15/2032, 144A |  | 2853990 |
| 5584000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., <br>4.500%, 8/15/2028, 144A |  | 5006807 |
| 7133000 | Transelec S.A., <br>4.250%, 1/14/2025, 144A |  | 6934103 |
| 3713000 | Transelec S.A., <br>4.625%, 7/26/2023, 144A |  | 3701118 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98883451 |
|  | **Finance Companies – 2.3%** | **Finance Companies – 2.3%** | **Finance Companies – 2.3%** |
| 6365000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, <br>3.000%, 10/29/2028 |  | 5332440 |
| 16050000 | Air Lease Corp., GMTN, <br>3.750%, 6/01/2026 |  | 15033367 |
| 20287000 | Aircastle Ltd., <br>2.850%, 1/26/2028, 144A |  | 16591852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22047000 | Ares Capital Corp., <br>2.150%, 7/15/2026 |  | 18666579 |
| 15425000 | Avolon Holdings Funding Ltd., <br>2.750%, 2/21/2028, 144A |  | 12382167 |
| 17929000 | FS KKR Capital Corp., <br>3.400%, 1/15/2026 |  | 15898598 |
| 6000000 | Navient Corp., <br>5.000%, 3/15/2027 |  | 5252478 |
| 6547000 | Navient Corp., MTN, <br>6.125%, 3/25/2024 |  | 6413567 |
| 2850000 | OneMain Finance Corp., <br>3.500%, 1/15/2027 |  | 2359714 |
| 8215000 | OneMain Finance Corp., <br>3.875%, 9/15/2028 |  | 6532732 |
| 3537000 | Owl Rock Capital Corp., <br>2.625%, 1/15/2027 |  | 2917781 |
| 13397000 | Owl Rock Capital Corp., <br>3.400%, 7/15/2026 |  | 11697684 |
| 10958000 | Owl Rock Technology Finance Corp., <br>3.750%, 6/17/2026, 144A |  | 9583338 |
| 5769000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., <br>3.875%, 3/01/2031, 144A |  | 4403336 |
| 1155000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., <br>4.000%, 10/15/2033, 144A |  | 862623 |
|  |  |  | 133928256 |
|  | **Financial Other – 0.1%** | **Financial Other – 0.1%** | **Financial Other – 0.1%** |
| 4763000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., <br>4.375%, 2/01/2029 |  | 4027831 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |
|  | **Food & Beverage – 0.8%** | **Food & Beverage – 0.8%** |
| $5573000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., <br>4.900%, 2/01/2046 | $5066276 |
| 12823000 | Anheuser-Busch InBev Worldwide, Inc., <br>4.350%, 6/01/2040 | 11268184 |
| 13008000 | BRF S.A., <br>5.750%, 9/21/2050, 144A | 9267290 |
| 2032000 | Gruma SAB de CV, <br>4.875%, 12/01/2024, 144A | 2009140 |
| 10765000 | Minerva Luxembourg S.A., <br>4.375%, 3/18/2031, 144A | 8834082 |
| 5634000 | Post Holdings, Inc., <br>4.500%, 9/15/2031, 144A | 4736282 |
| 4996000 | Post Holdings, Inc., <br>4.625%, 4/15/2030, 144A | 4310249 |
| 1599000 | Smithfield Foods, Inc., <br>3.000%, 10/15/2030, 144A | 1217467 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46708970 |
|  | **Government Owned - No Guarantee – 2.0%** | **Government Owned - No Guarantee – 2.0%** |
| 6872000 | Antares Holdings LP, <br>3.950%, 7/15/2026, 144A | 5901467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17141000 | BOC Aviation USA Corp., <br>1.625%, 4/29/2024, 144A | 16269828 |
| 3903000 | Empresa de los Ferrocarriles del Estado, <br>3.068%, 8/18/2050, 144A | 2439281 |
| 7565000 | Freeport Indonesia PT, <br>5.315%, 4/14/2032, 144A | 6955488 |
| 16956000 | NBN Co. Ltd., <br>1.450%, 5/05/2026, 144A | 14971694 |
| 6985000 | OCP S.A., <br>3.750%, 6/23/2031, 144A | 5839460 |
| 17320000 | OCP S.A., <br>5.625%, 4/25/2024, 144A | 17268352 |
| 6236000 | Ooredoo International Finance Ltd., <br>3.250%, 2/21/2023, 144A | 6209659 |
| 10588000 | Saudi Arabian Oil Co., <br>3.500%, 11/24/2070, 144A | 7176674 |
| 11825000 | Tennessee Valley Authority, <br>4.250%, 9/15/2065 | 10262445 |
| 7669000 | Tennessee Valley Authority, <br>4.625%, 9/15/2060 | 7168324 |
| 5427000 | Tennessee Valley Authority, <br>4.875%, 1/15/2048 | 5347865 |
| 9290000 | Tennessee Valley Authority, <br>5.250%, 9/15/2039 | 9665730 |
|  |  | 115476267 |
|  | **Health Insurance – 0.2%** | **Health Insurance – 0.2%** |
| 1886000 | Centene Corp., <br>2.500%, 3/01/2031 | 1475744 |
| 2495000 | Centene Corp., <br>2.625%, 8/01/2031 | 1960571 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Health Insurance – continued** | **Health Insurance – continued** | **Health Insurance – continued** |
| $7364000 | Centene Corp., <br>3.375%, 2/15/2030 | $| 6225305 |
|  |  |  | 9661620 |
|  | **Healthcare – 0.1%** | **Healthcare – 0.1%** | **Healthcare – 0.1%** |
| 11260000 | HCA, Inc., <br>4.625%, 3/15/2052, 144A |  | 8763608 |
|  | **Home Construction – 0.2%** | **Home Construction – 0.2%** | **Home Construction – 0.2%** |
| 4091000 | Forestar Group, Inc., <br>3.850%, 5/15/2026, 144A |  | 3586541 |
| 8190000 | NVR, Inc., <br>3.000%, 5/15/2030 |  | 6875447 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10461988 |
|  | **Independent Energy – 0.7%** | **Independent Energy – 0.7%** | **Independent Energy – 0.7%** |
| 2626000 | Aker BP ASA, <br>3.000%, 1/15/2025, 144A |  | 2489952 |
| 8277000 | Devon Energy Corp., <br>4.500%, 1/15/2030 |  | 7705833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11391292 | Energean Israel Finance Ltd., <br>4.500%, 3/30/2024, 144A |  | 10992597 |
| 1765000 | EQT Corp., <br>3.125%, 5/15/2026, 144A |  | 1622097 |
| 4696000 | EQT Corp., <br>3.900%, 10/01/2027 |  | 4335184 |
| 601000 | EQT Corp., <br>5.000%, 1/15/2029 |  | 564194 |
| 9078204 | Leviathan Bond Ltd., <br>6.125%, 6/30/2025, 144A |  | 8880844 |
| 6117000 | Pan American Energy LLC, <br>9.125%, 4/30/2027, 144A |  | 6853609 |
|  |  |  | 43444310 |
|  | **Industrial Other – 0.1%** | **Industrial Other – 0.1%** | **Industrial Other – 0.1%** |
| 3408000 | Georgetown University (The), Series A, <br>5.215%, 10/01/2118 |  | 2983125 |
|  | **Life Insurance – 0.2%** | **Life Insurance – 0.2%** | **Life Insurance – 0.2%** |
| 12491000 | Brighthouse Financial, Inc., <br>5.625%, 5/15/2030 |  | 11879890 |
| 2327000 | OneAmerica Financial Partners, Inc., <br>4.250%, 10/15/2050, 144A |  | 1672764 |
|  |  |  | 13552654 |
|  | **Lodging – 0.1%** | **Lodging – 0.1%** | **Lodging – 0.1%** |
| 5147000 | Hilton Domestic Operating Co., Inc., <br>3.625%, 2/15/2032, 144A |  | 4121718 |
|  | **Media Entertainment – 1.0%** | **Media Entertainment – 1.0%** | **Media Entertainment – 1.0%** |
| 9549000 | AMC Networks, Inc., <br>4.250%, 2/15/2029 |  | 5949958 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Media Entertainment – continued** | **Media Entertainment – continued** | **Media Entertainment – continued** |
| 54020000 | Grupo Televisa SAB, EMTN, <br>7.250%, 5/14/2043, (MXN) | $| 1701451 |
| 4808000 | Outfront Media Capital LLC/Outfront Media Capital Corp., <br>4.250%, 1/15/2029, 144A |  | 3989342 |
| 11303000 | Prosus NV, <br>3.680%, 1/21/2030, 144A |  | 9397840 |
| 13750000 | Prosus NV, <br>3.832%, 2/08/2051, 144A |  | 8307308 |
| 15925000 | Warnermedia Holdings, Inc., <br>3.528%, 3/15/2024, 144A |  | 15431166 |
| 17750000 | Warnermedia Holdings, Inc., <br>5.391%, 3/15/2062, 144A |  | 13002940 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57780005 |
|  | **Metals & Mining – 0.9%** | **Metals & Mining – 0.9%** | **Metals & Mining – 0.9%** |
| 1835000 | Anglo American Capital PLC, <br>2.250%, 3/17/2028, 144A |  | 1543146 |
| 2245000 | Anglo American Capital PLC, <br>3.875%, 3/16/2029, 144A |  | 2015530 |
| 3322000 | Anglo American Capital PLC, <br>3.950%, 9/10/2050, 144A |  | 2426171 |
| 7696000 | Anglo American Capital PLC, <br>5.625%, 4/01/2030, 144A |  | 7640096 |
| 9977000 | FMG Resources August 2006 Pty Ltd., <br>4.375%, 4/01/2031, 144A |  | 8297706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13633000 | Fresnillo PLC, <br>4.250%, 10/02/2050, 144A |  | 10751257 |
| 24397000 | Glencore Funding LLC, <br>2.500%, 9/01/2030, 144A |  | 19809144 |
| 3555000 | SunCoke Energy, Inc., <br>4.875%, 6/30/2029, 144A |  | 3051568 |
|  |  |  | 55534618 |
|  | **Midstream – 0.7%** | **Midstream – 0.7%** | **Midstream – 0.7%** |
| 568000 | Energy Transfer LP, <br>5.150%, 2/01/2043 |  | 469477 |
| 125000 | Energy Transfer LP, <br>5.400%, 10/01/2047 |  | 105882 |
| 4900000 | Energy Transfer LP, <br>5.950%, 10/01/2043 |  | 4501990 |
| 8548000 | Energy Transfer LP, <br>6.500%, 2/01/2042 |  | 8448654 |
| 1338000 | Energy Transfer LP, <br>6.625%, 10/15/2036 |  | 1341325 |
| 2445000 | EQM Midstream Partners LP, <br>6.500%, 7/01/2027, 144A |  | 2336809 |
| 2014000 | Gray Oak Pipeline LLC, <br>2.600%, 10/15/2025, 144A |  | 1826333 |
| 982000 | Gray Oak Pipeline LLC, <br>3.450%, 10/15/2027, 144A |  | 868455 |
| 12205000 | Sempra Global, <br>3.250%, 1/15/2032, 144A |  | 9730499 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Midstream – continued** | **Midstream – continued** | **Midstream – continued** |
| $930000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., <br>6.500%, 7/15/2027 | $| 935896 |
| 10936000 | Williams Cos., Inc. (The), <br>3.500%, 11/15/2030 |  | 9561114 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40126434 |
|  | **Mortgage Related – 26.1%** | **Mortgage Related – 26.1%** | **Mortgage Related – 26.1%** |
| 52098667 | FHLMC, <br>1.500%, with various maturities from 2050 to 2051(d) |  | 39067493 |
| 174026817 | FHLMC, <br>2.000%, with various maturities from 2050 to 2052(d) |  | 141588259 |
| 234687385 | FHLMC, <br>2.500%, with various maturities from 2050 to 2052(d) |  | 199016496 |
| 56331921 | FHLMC, <br>3.000%, with various maturities from 2042 to 2052(d) |  | 49678170 |
| 16939096 | FHLMC, <br>3.500%, with various maturities from 2043 to 2052(d) |  | 15609709 |
| 24457987 | FHLMC, <br>4.000%, with various maturities from 2044 to 2052(d) |  | 22982334 |
| 92051366 | FHLMC, <br>4.500%, with various maturities from 2041 to 2052(d) |  | 88665489 |
| 14618501 | FHLMC, <br>5.000%, with various maturities from 2048 to 2052(d) |  | 14625432 |
| 4209 | FHLMC, <br>6.000%, 6/01/2035 |  | 4358 |
| 37054898 | FNMA, <br>1.500%, 2/01/2051 |  | 28628582 |
| 387907902 | FNMA, <br>2.000%, with various maturities from 2037 to 2052(d) |  | 320928310 |
| 255404273 | FNMA, <br>2.500%, with various maturities from 2045 to 2062(d) |  | 214758813 |
| 65617684 | FNMA, <br>3.000%, with various maturities from 2045 to 2052(d) |  | 58151730 |
| 115214553 | FNMA, <br>3.500%, with various maturities from 2043 to 2052(d) |  | 105041718 |
| 19531263 | FNMA, <br>4.000%, with various maturities from 2041 to 2052(d) |  | 18571172 |
| 25602655 | FNMA, <br>4.500%, with various maturities from 2043 to 2052(d) |  | 24797374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121013782 | FNMA, <br>5.000%, with various maturities from 2048 to 2052(d) |  | 119499750 |
| 3195142 | FNMA, <br>5.500%, 4/01/2050 |  | 3247508 |
| 2021582 | FNMA, <br>6.000%, with various maturities from 2034 to 2049(d) |  | 2088361 |
| 4782 | FNMA, <br>6.500%, with various maturities from 2029 to 2031(d) |  | 4901 |
| 17067 | FNMA, <br>7.000%, with various maturities in 2030(d) |  | 17123 |
| 9921 | FNMA, <br>7.500%, with various maturities from 2024 to 2032(d) |  | 10187 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |
|  | **Mortgage Related – continued** | **Mortgage Related – continued** |
| $4398 | GNMA, <br>3.660%, 7/20/2063(a) | $4258 |
| 1104 | GNMA, <br>3.890%, 12/20/2062(a) | 1028 |
| 5167 | GNMA, <br>4.317%, 8/20/2061(a) | 5054 |
| 5289053 | GNMA, <br>4.388%, 12/20/2066(a) | 5163755 |
| 19311 | GNMA, <br>4.390%, with various maturities in 2062(a)(d) | 18105 |
| 3885711 | GNMA, <br>4.414%, 11/20/2066(a) | 3813170 |
| 2435010 | GNMA, <br>4.421%, 2/20/2066(a) | 2384347 |
| 2227 | GNMA, <br>4.422%, 5/20/2063(a) | 2168 |
| 1538904 | GNMA, <br>4.438%, 10/20/2066(a) | 1504892 |
| 1191505 | GNMA, <br>4.447%, 2/20/2066(a) | 1165794 |
| 1460719 | GNMA, <br>4.451%, 6/20/2066(a) | 1433202 |
| 1713124 | GNMA, <br>4.481%, 12/20/2063(a) | 1689716 |
| 1679930 | GNMA, <br>4.491%, 9/20/2066(a) | 1646867 |
| 2737302 | GNMA, <br>4.496%, 12/20/2064(a) | 2694390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2688410 | GNMA, <br>4.522%, 6/20/2066(a) | 2635996 |
| 2788724 | GNMA, <br>4.540%, 12/20/2064(a) | 2740242 |
| 2527989 | GNMA, <br>4.546%, 2/20/2065(a) | 2487929 |
| 1782543 | GNMA, <br>4.549%, 6/20/2064(a) | 1758297 |
| 323786 | GNMA, <br>4.600%, 1/20/2064(a) | 321438 |
| 3825136 | GNMA, <br>4.604%, 10/20/2064(a) | 3766732 |
| 1288599 | GNMA, <br>4.614%, 4/20/2066(a) | 1266759 |
| 973716 | GNMA, <br>4.615%, 1/20/2065(a) | 957651 |
| 3363682 | GNMA, <br>4.628%, 2/20/2065(a) | 3307900 |
| 2717558 | GNMA, <br>4.631%, 3/20/2066(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2669583 |
| 1448468 | GNMA, <br>4.632%, 3/20/2065(a) | 1425860 |
| 1236974 | GNMA, <br>4.644%, 1/20/2064(a) | 1225994 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Mortgage Related – continued** | **Mortgage Related – continued** | **Mortgage Related – continued** |
| $2588 | GNMA, <br>4.657%, 5/20/2063(a) | $| 2531 |
| 7272587 | GNMA, <br>4.659%, with various maturities from 2064 to 2066(a)(d) |  | 7164351 |
| 2762667 | GNMA, <br>4.663%, 1/20/2065(a) |  | 2721096 |
| 1257118 | GNMA, <br>4.700%, with various maturities from 2062 to 2066(a)(d) |  | 1234556 |
| 2179921 | GNMA, <br>4.718%, 1/20/2064(a) |  | 2154108 |
| 83317 | GNMA, <br>5.500%, 4/15/2038 |  | 86663 |
| 16521 | GNMA, <br>6.000%, with various maturities from 2029 to 2038(d) |  | 17073 |
| 20216 | GNMA, <br>6.500%, with various maturities from 2029 to 2032(d) |  | 20780 |
| 17500 | GNMA, <br>7.000%, 9/15/2025 |  | 17509 |
| 2108 | GNMA, <br>7.500%, with various maturities from 2025 to 2030(d) |  | 2127 |
|  |  |  | 1526495190 |
|  | **Natural Gas – 0.0%** | **Natural Gas – 0.0%** | **Natural Gas – 0.0%** |
| 2701000 | Boston Gas Co., <br>3.001%, 8/01/2029, 144A |  | 2311565 |
|  | **Non-Agency Commercial Mortgage-Backed Securities – 2.2%** | **Non-Agency Commercial Mortgage-Backed Securities – 2.2%** | **Non-Agency Commercial Mortgage-Backed Securities – 2.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22085000 | AOA Mortgage Trust, Series 2021-1177, Class A, <br>1-month LIBOR + 0.874%, 5.192%, 10/15/2038, 144A(b) |  | 20448965 |
| 1531640 | BANK, Series 2019-BN16, Class A4, <br>4.005%, 2/15/2052 |  | 1434302 |
| 3409380 | BANK, Series 2019-BN20, Class A3, <br>3.011%, 9/15/2062 |  | 2979813 |
| 12696152 | BANK, Series 2019-BN22, Class A4, <br>2.978%, 11/15/2062 |  | 11067568 |
| 6138240 | BANK, Series 2019-BN24, Class A3, <br>2.960%, 11/15/2062 |  | 5332553 |
| 7135000 | BPR Trust, Series 2021-NRD, Class A, <br>1-month SOFR + 1.525%, 5.851%, 12/15/2038, 144A(b) |  | 6639126 |
| 14179842 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, <br>3.102%, 12/15/2072 |  | 12275886 |
| 7070071 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, <br>3.038%, 11/10/2052 |  | 6157223 |
| 8877514 | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, <br>2.717%, 2/15/2053 |  | 7491885 |
| 829196 | Commercial Mortgage Trust, Series 2010-C1, Class D, <br>5.792%, 7/10/2046, 144A(a) |  | 803280 |
| 2112208 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, <br>3.304%, 9/15/2037, 144A |  | 1903611 |
| 11367000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, <br>3.953%, 9/15/2037, 144A |  | 10212095 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** |
| $6247630 | Extended Stay America Trust, Series 2021-ESH, Class A, <br>1-month LIBOR + 1.080%, 5.398%, 7/15/2038, 144A(b) | $| 6067381 |
| 1449645 | Extended Stay America Trust, Series 2021-ESH, Class D, <br>1-month LIBOR + 2.250%, 6.568%, 7/15/2038, 144A(b) |  | 1387826 |
| 5627003 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, <br>5.154%, 8/10/2044, 144A(a) |  | 4234334 |
| 2317554 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, <br>4.885%, 1/10/2047(a) |  | 2121689 |
| 6596065 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, <br>2.911%, 2/13/2053 |  | 5418206 |
| 8370000 | MedTrust, Series 2021-MDLN, Class A, <br>1-month LIBOR + 0.950%, 5.268%, 11/15/2038, 144A(b) |  | 8055126 |
| 3825000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, <br>4.198%, 8/15/2046(a) |  | 3769420 |
| 4982141 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, <br>4.844%, 6/15/2044, 144A(a) |  | 4456022 |
| 5245978 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, <br>4.176%, 5/15/2047 |  | 5059348 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;127315659 |
|  | **Paper – 0.2%** | **Paper – 0.2%** | **Paper – 0.2%** |
| 10675000 | Klabin Austria GmbH, <br>7.000%, 4/03/2049, 144A |  | 10472236 |
|  | **Pharmaceuticals – 0.3%** | **Pharmaceuticals – 0.3%** | **Pharmaceuticals – 0.3%** |
| 9284000 | Teva Pharmaceutical Finance Netherlands III BV, <br>3.150%, 10/01/2026 |  | 8118858 |
| 7588000 | Teva Pharmaceutical Finance Netherlands III BV, <br>7.125%, 1/31/2025 |  | 7545431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1903000 | Viatris, Inc., <br>4.000%, 6/22/2050 |  | 1172511 |
|  |  |  | 16836800 |
|  | **Property & Casualty Insurance – 0.1%** | **Property & Casualty Insurance – 0.1%** | **Property & Casualty Insurance – 0.1%** |
| 2585000 | Ascot Group Ltd., <br>4.250%, 12/15/2030, 144A |  | 2223494 |
| 5865000 | Liberty Mutual Group, Inc., <br>3.950%, 5/15/2060, 144A |  | 3841185 |
|  |  |  | 6064679 |
|  | **Refining – 0.3%** | **Refining – 0.3%** | **Refining – 0.3%** |
| 19664000 | Thaioil Treasury Center Co. Ltd., <br>4.875%, 1/23/2043, 144A |  | 15067540 |
|  | **REITs - Apartments – 0.0%** | **REITs - Apartments – 0.0%** | **REITs - Apartments – 0.0%** |
| 1715000 | American Homes 4 Rent, <br>3.375%, 7/15/2051 |  | 1067219 |
|  | **REITs - Diversified – 0.3%** | **REITs - Diversified – 0.3%** | **REITs - Diversified – 0.3%** |
| 3790000 | EPR Properties, <br>3.600%, 11/15/2031 |  | 2745859 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **REITs - Diversified – continued** | **REITs - Diversified – continued** | **REITs - Diversified – continued** |
| $13668000 | iStar, Inc., <br>4.250%, 8/01/2025 | $| 13393609 |
|  |  |  | 16139468 |
|  | **Retailers – 0.8%** | **Retailers – 0.8%** | **Retailers – 0.8%** |
| 3081000 | Alibaba Group Holding Ltd., <br>3.250%, 2/09/2061 |  | 1842835 |
| 12000 | Asbury Automotive Group, Inc., <br>4.500%, 3/01/2028 |  | 10565 |
| 242000 | Asbury Automotive Group, Inc., <br>4.750%, 3/01/2030 |  | 202397 |
| 9905000 | Dick's Sporting Goods, Inc., <br>4.100%, 1/15/2052 |  | 6385526 |
| 22289000 | El Puerto de Liverpool SAB de CV, <br>3.875%, 10/06/2026, 144A |  | 21063105 |
| 8985000 | Falabella S.A., <br>3.375%, 1/15/2032, 144A |  | 7183635 |
| 20000 | Group 1 Automotive, Inc., <br>4.000%, 8/15/2028, 144A |  | 16929 |
| 856000 | Hanesbrands, Inc., <br>4.625%, 5/15/2024, 144A |  | 829060 |
| 2037000 | Hanesbrands, Inc., <br>4.875%, 5/15/2026, 144A |  | 1820204 |
| 6632000 | Lithia Motors, Inc., <br>4.375%, 1/15/2031, 144A |  | 5395830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4582000 | MercadoLibre, Inc., <br>3.125%, 1/14/2031 |  | 3542344 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48292430 |
|  | **Sovereigns – 0.7%** | **Sovereigns – 0.7%** | **Sovereigns – 0.7%** |
| 12229000 | Dominican Republic International Bond, <br>4.875%, 9/23/2032, 144A |  | 10150817 |
| 9370000 | Dominican Republic International Bond, <br>5.300%, 1/21/2041, 144A |  | 7230113 |
| 15265000 | Egypt Government International Bond, <br>7.625%, 5/29/2032, 144A |  | 11273202 |
| 14320000 | Republic of South Africa Government International Bond, <br>7.300%, 4/20/2052 |  | 12322360 |
|  |  |  | 40976492 |
|  | **Technology – 2.0%** | **Technology – 2.0%** | **Technology – 2.0%** |
| 2425000 | Baidu, Inc., <br>2.375%, 10/09/2030 |  | 1927705 |
| 4515000 | Baidu, Inc., <br>3.075%, 4/07/2025 |  | 4255071 |
| 3890000 | Broadcom, Inc., <br>3.137%, 11/15/2035, 144A |  | 2860186 |
| 10254000 | Corning, Inc., <br>5.450%, 11/15/2079 |  | 8849834 |
| 2133000 | Equifax, Inc., <br>2.600%, 12/15/2025 |  | 1984036 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** |  | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  |  | **Technology – continued** | **Technology – continued** | **Technology – continued** |
| $4324000 |  | Equifax, Inc., <br>7.000%, 7/01/2037 | $| 4504331 |
| 11320000 |  | HCL America, Inc., <br>1.375%, 3/10/2026, 144A |  | 10006654 |
| 14421000 |  | Hewlett Packard Enterprise Co., <br>6.200%, 10/15/2035 |  | 14864670 |
| 12214000 |  | Iron Mountain, Inc., <br>4.500%, 2/15/2031, 144A |  | 10039175 |
| 5460000 |  | Jabil, Inc., <br>3.000%, 1/15/2031 |  | 4519564 |
| 6371000 |  | Microchip Technology, Inc., <br>4.333%, 6/01/2023 |  | 6343790 |
| 6151000 |  | Molex Electronic Technologies LLC, <br>3.900%, 4/15/2025, 144A |  | 5850867 |
| 13301000 |  | Oracle Corp., <br>4.100%, 3/25/2061 |  | 9233139 |
| 4505000 |  | Qorvo, Inc., <br>1.750%, 12/15/2024, 144A |  | 4148880 |
| 3513000 |  | Sabre GLBL, Inc., <br>7.375%, 9/01/2025, 144A |  | 3376133 |
| 39000 |  | Science Applications International Corp., <br>4.875%, 4/01/2028, 144A |  | 36075 |
| 4204000 |  | Sensata Technologies, Inc., <br>3.750%, 2/15/2031, 144A |  | 3458378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13563000 |  | Tencent Holdings Ltd., <br>3.290%, 6/03/2060, 144A |  | 8120163 |
| 11682000 |  | Ziff Davis, Inc., <br>4.625%, 10/15/2030, 144A |  | 9885075 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;114263726 |
|  |  | **Tobacco – 0.4%** | **Tobacco – 0.4%** | **Tobacco – 0.4%** |
| 26019000 |  | BAT Capital Corp., <br>2.789%, 9/06/2024 |  | 24897222 |
|  |  | **Treasuries – 28.3%** | **Treasuries – 28.3%** | **Treasuries – 28.3%** |
| 2968000 | (††) | Mexican Fixed Rate Bonds, Series M, <br>5.750%, 3/05/2026, (MXN) |  | 13776491 |
| 22562431 | (††) | Mexican Fixed Rate Bonds, Series M 20, <br>8.500%, 5/31/2029, (MXN) |  | 112496641 |
| 213447000 |  | Republic of Uruguay, <br>8.500%, 3/15/2028, 144A, (UYU) |  | 4873853 |
| 49100000 |  | U.S. Treasury Bond, <br>1.125%, 8/15/2040 |  | 30491867 |
| 154795000 |  | U.S. Treasury Bond, <br>1.750%, 8/15/2041 |  | 105931782 |
| 234700000 |  | U.S. Treasury Bond, <br>2.000%, 11/15/2041 |  | 167581301 |
| 70430000 |  | U.S. Treasury Bond, <br>2.250%, 2/15/2052 |  | 48976361 |
| 71990000 |  | U.S. Treasury Bond, <br>2.375%, 2/15/2042 |  | 54965490 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Treasuries – continued** | **Treasuries – continued** | **Treasuries – continued** |
| $46925000 | U.S. Treasury Bond, <br>3.250%, 5/15/2042 | $| 41140027 |
| 44725000 | U.S. Treasury Bond, <br>3.375%, 8/15/2042 |  | 39972969 |
| 25275000 | U.S. Treasury Bond, <br>4.000%, 11/15/2052 |  | 25310543 |
| 97150000 | U.S. Treasury Note, <br>2.750%, 7/31/2027 |  | 91916803 |
| 182200000 | U.S. Treasury Note, <br>2.750%, 8/15/2032 |  | 165915875 |
| 1135000 | U.S. Treasury Note, <br>2.875%, 5/15/2032 |  | 1045973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175885000 | U.S. Treasury Note, <br>3.125%, 8/31/2029 |  | 166973952 |
| 34855000 | U.S. Treasury Note, <br>3.875%, 11/30/2027 |  | 34664387 |
| 78445000 | U.S. Treasury Note, <br>3.875%, 12/31/2027 |  | 77991490 |
| 175610000 | U.S. Treasury Note, <br>3.875%, 9/30/2029 |  | 174368383 |
| 20915000 | U.S. Treasury Note, <br>3.875%, 11/30/2029 |  | 20774477 |
| 15815000 | U.S. Treasury Note, <br>4.125%, 9/30/2027 |  | 15874306 |
| 19250000 | U.S. Treasury Note, <br>4.125%, 10/31/2027 |  | 19320684 |
| 17300000 | U.S. Treasury Note, <br>4.125%, 11/15/2032 |  | 17654109 |
| 24000000 | U.S. Treasury Note, <br>4.250%, 12/31/2024 |  | 23916563 |
| 118500000 | U.S. Treasury Note, <br>4.500%, 11/30/2024 |  | 118504629 |
| 3428157000 | Uruguay Government International Bond, <br>8.250%, 5/21/2031, (UYU) |  | 74079922 |
| 93095000 | Uruguay Government International Bond, <br>8.500%, 3/15/2028, (UYU) |  | 2125733 |
|  |  |  | 1650644611 |
|  | **Wireless – 1.0%** | **Wireless – 1.0%** | **Wireless – 1.0%** |
| 5400000 | America Movil SAB de CV, <br>2.875%, 5/07/2030 |  | 4584273 |
| 14780000 | America Movil SAB de CV, <br>5.375%, 4/04/2032, 144A |  | 13377230 |
| 17567000 | Bharti Airtel Ltd., <br>4.375%, 6/10/2025, 144A |  | 17066323 |
| 983000 | Crown Castle, Inc., <br>4.150%, 7/01/2050 |  | 756772 |
| 5305000 | Empresa Nacional de Telecomunicaciones S.A., <br>3.050%, 9/14/2032, 144A |  | 4217475 |
| 7180000 | Kenbourne Invest S.A., <br>4.700%, 1/22/2028, 144A |  | 5640249 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
| **Non-Convertible Bonds – continued** | **Non-Convertible Bonds – continued** |  |  |
|  | **Wireless – continued** | **Wireless – continued** | **Wireless – continued** |
| $5452000 | Millicom International Cellular S.A., <br>4.500%, 4/27/2031, 144A | $| 4585776 |
| 11510000 | SBA Communications Corp., <br>3.125%, 2/01/2029 |  | 9570450 |
|  |  |  | 59798548 |
|  | Wirelines – 0.6% | Wirelines – 0.6% | Wirelines – 0.6% |
| 17028000 | AT&T, Inc., <br>1.700%, 3/25/2026 |  | 15345582 |
| 7956000 | AT&T, Inc., <br>3.500%, 9/15/2053 |  | 5369792 |
| 1863000 | AT&T, Inc., <br>3.650%, 6/01/2051 |  | 1312134 |
| 11391000 | AT&T, Inc., <br>3.650%, 9/15/2059 |  | 7624349 |
| 7539000 | AT&T, Inc., <br>3.800%, 12/01/2057 |  | 5201407 |
|  |  |  | 34853264 |
|  | Total Non-Convertible Bonds <br>(Identified Cost $6,037,679,737) |  | 5304359339 |
| **Municipals – 0.1%** | **Municipals – 0.1%** | **Municipals – 0.1%** | **Municipals – 0.1%** |
|  | **Virginia – 0.1%** | **Virginia – 0.1%** | **Virginia – 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12785000 | University of Virginia, Revenue Bond, Series A, <br>3.227%, 9/01/2119 |  | 7474753 |
|  | Total Municipals <br>(Identified Cost $12,785,000) |  | 7474753 |
|  | Total Bonds and Notes <br>(Identified Cost $6,050,464,737) |  | 5311834092 |
| **Senior Loans – 1.6%** | **Senior Loans – 1.6%** | **Senior Loans – 1.6%** | **Senior Loans – 1.6%** |
|  | **Brokerage – 0.1%** | **Brokerage – 0.1%** | **Brokerage – 0.1%** |
| 3103168 | AllSpring Buyer LLC, Term Loan B, <br>3-month LIBOR + 3.000%, 7.750%, 11/01/2028(b)(e) |  | 3055844 |
| 3615635 | Citadel Securities LP, 2021 Term Loan B, <br>1-month SOFR + 2.50%, 6.938%, 2/02/2028(b)(f) |  | 3540611 |
|  |  |  | 6596455 |
|  | **Building Materials – 0.2%** | **Building Materials – 0.2%** | **Building Materials – 0.2%** |
| 5061803 | American Builders & Contractors Supply Co., Inc., 2019 Term Loan, <br>1-month LIBOR + 2.000%, 6.384%, 1/15/2027(b)(f) |  | 5013007 |
| 4832530 | Beacon Roofing Supply, Inc., 2021 Term Loan B, <br>1-month LIBOR + 2.250%, 6.634%, 5/19/2028(b)(f) |  | 4783432 |
| 1517945 | Quikrete Holdings, Inc., 2016 1st Lien Term Loan, <br>1-month LIBOR + 2.625%, 7.009%, 2/01/2027(b)(f) |  | 1498971 |
| 4007724 | Quikrete Holdings, Inc., 2021 Term Loan B1, <br>1-month LIBOR + 3.000%, 7.384%, 3/18/2029(b)(f) |  | 3971414 |
|  |  |  | 15266824 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Senior Loans – continued** | **Senior Loans – continued** |  |
|  | **Cable Satellite – 0.1%** | **Cable Satellite – 0.1%** |
| $3220147 | UPC Broadband Holding BV, 2020 USD Term Loan AT, <br>1-month LIBOR + 2.250%, 6.568%, 4/30/2028(b)(f) | $3136617 |
| 3715845 | Virgin Media Bristol LLC, USD Term Loan N, <br>1-month LIBOR + 2.500%, 6.818%, 1/31/2028(b)(f) | 3648179 |
|  |  | 6784796 |
|  | **Consumer Cyclical Services – 0.2%** | **Consumer Cyclical Services – 0.2%** |
| 4148401 | AEA International Holdings (Lux) S.a.r.l., Term Loan B, <br>3-month LIBOR + 3.750%, 8.500%, 9/07/2028(b)(e) | 4096546 |
| 4289675 | RE/MAX International, Inc., 2021 Term Loan B, <br>1-month LIBOR + 2.500%, 6.938%, 7/21/2028(b)(e) | 3987596 |
| 3586143 | Uber Technologies, Inc., 2021 Term Loan B, <br>3-month LIBOR + 3.500%, 8.235%, 2/25/2027(b)(f) | 3576532 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11660674 |
|  | **Consumer Products – 0.0%** | **Consumer Products – 0.0%** |
| 2599085 | SRAM LLC, 2021 Term Loan B, <br>1-month LIBOR + 2.750%, 7.134%, 5/18/2028(b)(e) | 2524362 |
|  | **Electric – 0.1%** | **Electric – 0.1%** |
| 4482647 | Calpine Corp., 2019 Term Loan B10, <br>1-month LIBOR + 2.000%, 6.384%, 8/12/2026(b)(f) | 4419352 |
| 3670274 | Pacific Gas & Electric Co., 2020 Term Loan, <br>1-month LIBOR + 3.000%, 7.438%, 6/23/2025(b)(e) | 3637021 |
|  |  | 8056373 |
|  | **Financial Other – 0.1%** | **Financial Other – 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3623563 | Trans Union LLC, 2019 Term Loan B5, <br>1-month LIBOR + 1.750%, 6.134%, 11/16/2026(b)(f) | 3568557 |
|  | **Food & Beverage – 0.1%** | **Food & Beverage – 0.1%** |
| 3584551 | Aramark Services, Inc., 2021 Term Loan B, <br>1-month LIBOR + 2.500%, 6.884%, 4/06/2028(b)(f) | 3527198 |
|  | **Gaming – 0.1%** | **Gaming – 0.1%** |
| 3191488 | Churchill Downs, Inc., 2021 Incremental Term Loan B1, <br>1-month LIBOR + 2.000%, 6.390%, 3/17/2028(b)(f) | 3156924 |
|  | **Media Entertainment – 0.1%** | **Media Entertainment – 0.1%** |
| 2964421 | E.W. Scripps Co. (The), 2020 Term Loan B3, <br>1-month LIBOR + 2.750%, 7.134%, 1/07/2028(b)(g) | 2877089 |
| 3643832 | WMG Acquisition Corp., 2021 Term Loan G, <br>1-month LIBOR + 2.125%, 6.509%, 1/20/2028(b)(f) | 3596754 |
|  |  | 6473843 |
|  | **Pharmaceuticals – 0.1%** | **Pharmaceuticals – 0.1%** |
| 4082389 | Elanco Animal Health, Inc., Term Loan B, <br>1-month LIBOR + 1.750%, 5.870%, 8/01/2027(b)(f) | 3913337 |
|  | **Property & Casualty Insurance – 0.1%** | **Property & Casualty Insurance – 0.1%** |
| 5493149 | Asurion LLC, 2020 Term Loan B8, <br>1-month LIBOR + 3.250%, 7.634%, 12/23/2026(b)(f) | 4885497 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
|  **Senior Loans – continued** | **Senior Loans – continued** | **Senior Loans – continued** |  |
|  |  | **Restaurants – 0.1%** | **Restaurants – 0.1%** |
| $| 4887105 | 1011778 B.C. Unlimited Liability Co., Term Loan B4, <br>LIBOR + 1.75%, 6.141%, 11/19/2026(f)(h) | $4795471 |
|  |  | **Retailers – 0.1%** | **Retailers – 0.1%** |
|  | 6582303 | Restoration Hardware, Inc., Term Loan B, <br>1-month LIBOR + 2.500%, 6.884%, 10/20/2028(b)(e) | 6040909 |
|  |  | **Technology – 0.1%** | **Technology – 0.1%** |
|  | 3610014 | Iron Mountain, Inc., 2018 Term Loan B, <br>1-month LIBOR + 1.750%, 6.384%, 1/02/2026(b)(f) | 3551352 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4103947 | SS&C Technologies, Inc., 2018 Term Loan B5, <br>1-month LIBOR + 1.750%, 6.134%, 4/16/2025(b)(f) | 4026998 |
|  |  |  | 7578350 |
|  |  | Total Senior Loans <br>(Identified Cost $97,206,295) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94829570 |
|  **Collateralized Loan Obligations – 1.8%** | **Collateralized Loan Obligations – 1.8%** | **Collateralized Loan Obligations – 1.8%** |  |
|  | 1585000 | AMMC CLO Ltd., Series 2018-22A, Class D, <br>3-month LIBOR + 2.700%, 7.058%, 4/25/2031, 144A(b) | 1427511 |
|  | 400000 | Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, <br>3-month LIBOR + 1.500%, 5.579%, 10/15/2030, 144A(b) | 385305 |
|  | 1000000 | Atrium XIII, Series 13A, Class A1, <br>3-month LIBOR + 1.180%, 5.505%, 11/21/2030, 144A(b) | 990524 |
|  | 1165000 | Bain Capital Credit CLO, Series 2019-1A, Class CR, <br>3-month LIBOR + 2.150%, 6.377%, 4/19/2034, 144A(b) | 1088939 |
|  | 420000 | Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, <br>3-month LIBOR + 3.100%, 7.343%, 10/20/2034, 144A(b) | 369023 |
|  | 1400000 | Ballyrock CLO Ltd., Series 2019-1A, Class A2R, <br>3-month LIBOR + 1.550%, 5.629%, 7/15/2032, 144A(b) | 1342775 |
|  | 400000 | Battalion CLO XIX Ltd., Series 2021-19A, Class D, <br>3-month LIBOR + 3.250%, 7.329%, 4/15/2034, 144A(b) | 353999 |
|  | 1675000 | Betony CLO Ltd., Series 18-1A, Class A2, <br>3-month LIBOR + 1.600%, 6.015%, 4/30/2031, 144A(b) | 1607226 |
|  | 1575000 | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, <br>3-month LIBOR + 1.750%, 6.108%, 7/25/2034, 144A(b) | 1503059 |
|  | 2035000 | Carbone CLO Ltd., Series 2017-1A, Class A1, <br>3-month LIBOR + 1.140%, 5.383%, 1/20/2031, 144A(b) | 2004835 |
|  | 400000 | CarVal CLO II Ltd., Series 2019-1A, Class DR, <br>3-month LIBOR + 3.200%, 7.443%, 4/20/2032, 144A(b) | 367750 |
|  | 3515000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, <br>3-month LIBOR + 2.950%, 7.193%, 7/20/2032, 144A(b) | 3207371 |
|  | 525000 | Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, <br>3-month LIBOR + 1.650%, 5.729%, 7/17/2034, 144A(b) | 503066 |
|  | 2165000 | CIFC Funding Ltd., Series 18-2RA, Class A2, <br>3-month LIBOR + 1.250%, 5.493%, 1/20/2028, 144A(b) | 2124647 |
|  | 540000 | CIFC Funding Ltd., Series 2019-3A, Class CR, <br>3-month LIBOR + 3.050%, 7.129%, 10/16/2034, 144A(b) | 510059 |
|  | 2500000 | CIFC Funding Ltd., Series 2019-5A, Class CR, <br>3-month LIBOR + 3.150%, 7.229%, 1/15/2035, 144A(b) | 2367543 |
|  | 1935000 | CIFC Funding Ltd., Series 2020-1A, Class BR, <br>3-month LIBOR + 1.650%, 5.729%, 7/15/2036, 144A(b) | 1865208 |
|  | 4500000 | CIFC Funding Ltd., Series 2020-3A, Class DR, <br>3-month LIBOR + 3.100%, 7.343%, 10/20/2034, 144A(b) | 4252054 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
| **Collateralized Loan Obligations – continued** | **Collateralized Loan Obligations – continued** |  |
| $7190000 | CIFC Funding Ltd., Series 2021-7A, Class D, <br>3-month LIBOR + 3.000%, 7.325%, 1/23/2035, 144A(b) | $6454254 |
| 7655000 | Crown City CLO III, Series 2021-1A, Class A1A, <br>3-month LIBOR + 1.170%, 5.413%, 7/20/2034, 144A(b) | 7398320 |
| 840755 | Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR, <br>3-month LIBOR + 0.820%, 5.426%, 11/15/2028, 144A(b) | 830719 |
| 5450000 | Dryden CLO Ltd., Series 2020-78A, Class A, <br>3-month LIBOR + 1.180%, 5.259%, 4/17/2033, 144A(b) | 5333931 |
| 2520000 | Elmwood CLO III Ltd., Series 2019-3A, Class AR, <br>3-month LIBOR + 1.160%, 5.403%, 10/20/2034, 144A(b) | 2454551 |
| 2700000 | Elmwood CLO IV Ltd., Series 2020-1A, Class A, <br>3-month LIBOR + 1.240%, 5.319%, 4/15/2033, 144A(b) | 2655966 |
| 1750000 | Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, <br>3-month LIBOR + 3.650%, 7.729%, 10/15/2034, 144A(b) | 1554705 |
| 500000 | Generate CLO Ltd., Series 9A,Class A, <br>3-month LIBOR + 1.200%, 5.443%, 10/20/2034, 144A(b) | 482070 |
| 1650000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, <br>3-month LIBOR + 2.950%, 7.029%, 10/15/2030, 144A(b) | 1536640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000000 | LCM XX LP, Series 20A, Class BR, <br>3-month LIBOR + 1.550%, 5.793%, 10/20/2027, 144A(b) | 1965688 |
| 1190000 | Long Point Park CLO Ltd., Series 2017-1A, Class A2, <br>3-month LIBOR + 1.375%, 5.454%, 1/17/2030, 144A(b) | 1149602 |
| 1650000 | Madison Park Funding XLVI Ltd., Series 2020-46A, Class DR, <br>3-month LIBOR + 3.150%, 7.229%, 10/15/2034, 144A(b) | 1544190 |
| 475000 | Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, <br>3-month LIBOR + 1.900%, 6.143%, 4/20/2032, 144A(b) | 448896 |
| 1250000 | Magnetite XXI Ltd., Series 2019-21A, Class BR, <br>3-month LIBOR + 1.350%, 5.593%, 4/20/2034, 144A(b) | 1187783 |
| 4320000 | Magnetite XXIII Ltd., Series 2019-23A, Class DR, <br>3-month LIBOR + 3.050%, 7.408%, 1/25/2035, 144A(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4044509 |
| 1900000 | Magnetite XXX Ltd., Series 2021-30A, Class D, <br>3-month LIBOR + 2.950%, 7.308%, 10/25/2034, 144A(b) | 1782327 |
| 465000 | MP CLO VIII Ltd., Class ARR, Series 2015-2A, <br>3-month LIBOR + 1.200%, 5.574%, 4/28/2034, 144A(b) | 448005 |
| 3410000 | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-40A, Class B, <br>3-month LIBOR + 1.400%, 5.479%, 4/16/2033, 144A(b) | 3281351 |
| 2745000 | NYACK Park CLO Ltd., Series 2021-1A, Class D, <br>3-month LIBOR + 2.800%, 7.043%, 10/20/2034, 144A(b) | 2432515 |
| 1150000 | OCP CLO Ltd., Series 2021-21A, Class D, <br>3-month LIBOR + 2.950%, 7.193%, 7/20/2034, 144A(b) | 1042533 |
| 7630000 | OHA Credit Funding Ltd., Series 2021-8A, Class B1, <br>3-month LIBOR + 1.500%, 5.694%, 1/18/2034, 144A(b) | 7350452 |
| 720000 | OHA Credit Partners VII Ltd., Series 2012-7A, Class D1R3, <br>3-month LIBOR + 2.900%, 7.575%, 2/20/2034, 144A(b) | 664131 |
| 3895000 | OHA Credit Partners XIII Ltd., Series 2016-13A, Class DR, <br>3-month LIBOR + 3.200%, 7.478%, 10/25/2034, 144A(b) | 3692254 |
| 260000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, <br>3-month LIBOR + 1.950%, 6.193%, 7/20/2030, 144A(b) | 247286 |
| 2120000 | Palmer Square Loan Funding Ltd., Series 2020-4A, Class C, <br>3-month LIBOR + 3.600%, 8.357%, 11/25/2028, 144A(b) | 2057691 |
| 415000 | Palmer Square Loan Funding Ltd., Series 2020-1A, Class A2, <br>3-month LIBOR + 1.350%, 6.025%, 2/20/2028, 144A(b) | 407896 |
| 5670000 | Post CLO Ltd., Series 2021-1A, Class B, <br>3-month LIBOR + 1.750%, 5.829%, 10/15/2034, 144A(b) | 5421365 |
| 1245000 | Post CLO Ltd., Series 2022-1A, Class B, <br>3-month SOFR + 1.900%, 5.863%, 4/20/2035, 144A(b) | 1198864 |

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| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount (‡)** | **Principal<br>Amount (‡)** | **Description** | **Value (†)** |
|  **Collateralized Loan Obligations – continued** | **Collateralized Loan Obligations – continued** | **Collateralized Loan Obligations – continued** |  |
| $| 3730000 | PPM CLO Ltd., Series 2021-5A, Class B, <br>3-month LIBOR + 1.700%, 5.894%, 10/18/2034, 144A(b) | $3563945 |
|  | 3250000 | Riserva CLO Ltd., Series 2016-3A, Class DRR, <br>3-month LIBOR + 3.250%, 7.444%, 1/18/2034, 144A(b) | 2959424 |
|  | 1495000 | Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, <br>3-month LIBOR + 1.650%, 5.893%, 4/20/2034, 144A(b) | 1408875 |
|  | 1000000 | Signal Peak CLO Ltd., Series 2022-12A, Class B1, <br>3-month SOFR + 2.600%, 4.717%, 7/18/2034, 144A(b) | 972694 |
|  | 1000000 | Silver Creek CLO Ltd., Series 2014-1A, Class DR, <br>3-month LIBOR + 3.350%, 7.593%, 7/20/2030, 144A(b) | 937643 |
|  | 400000 | Symphony CLO XIV Ltd., Series 2014-14A, Class CR, <br>3-month LIBOR + 2.100%, 6.111%, 7/14/2026, 144A(b) | 396590 |
|  | 1000000 | Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, <br>3-month LIBOR + 1.180%, 5.423%, 7/20/2034, 144A(b) | 973929 |
|  | 500000 | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, <br>3-month LIBOR + 1.170%, 5.413%, 1/20/2035, 144A(b) | 485999 |
|  | 250000 | Wind River CLO Ltd., Series 2021-3A, Class A, <br>3-month LIBOR + 1.150%, 5.393%, 7/20/2033, 144A(b) | 242318 |
|  |  | Total Collateralized Loan Obligations <br>(Identified Cost $111,476,952) | 107280805 |
|  **Short-Term Investments – 6.5%** | **Short-Term Investments – 6.5%** | **Short-Term Investments – 6.5%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75064834 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $75,079,847 on 1/03/2023 collateralized by $38,019,100 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $76,566,293 including accrued interest(i) | 75064834 |
|  | 72000000 | U.S. Treasury Bills, <br>3.267%-3.508%, 1/05/2023(j)(k) | 71985460 |
|  | 45210000 | U.S. Treasury Bills, <br>3.322%-3.369%, 1/10/2023(j)(k) | 45178198 |
|  | 121955000 | U.S. Treasury Bills, <br>3.431%-3.601%, 1/03/2023(j)(k) | 121955000 |
|  | 66190000 | U.S. Treasury Bills, <br>3.520%-3.554%, 1/17/2023(j)(k) | 66095307 |
|  |  | Total Short-Term Investments <br>(Identified Cost $380,261,926) | 380278799 |
|  |  | Total Investments – 100.9% <br>(Identified Cost $6,639,409,910) | 5894223266 |
|  |  | Other assets less liabilities – (0.9)% | (54714571) |
|  |  | Net Assets – 100.0% | $5839508695 |

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| | |
|:---|:---|
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight.  |

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Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value ("NAV") is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

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| | |
|:---|:---|
| (‡) | Principal Amount stated in U.S. dollars unless otherwise noted.  |

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| | |
|:---|:---|
| (††) | Amount shown represents units. One unit represents a principal amount of 100.  |

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(a) Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest
rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or
caps. Rate as of December 31, 2022 is disclosed.

(b) Variable rate security. Rate as of December 31, 2022 is disclosed.

(c) Level 3 security. Value has been determined using significant unobservable inputs.

(d) The Fund's investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal
National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of
presentation in the Portfolio of Investments.

(e) Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject
to a minimum benchmark floor rate of 0.50%, to which the spread is added.

(f) Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject
to a minimum benchmark floor rate of 0.00%, to which the spread is added.

(g) Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject
to a minimum benchmark floor rate of 0.75%, to which the spread is added.

(h) Variable rate security. Rate shown represents the weighted average rate of underlying contracts at
December 31, 2022. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

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(i) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which
the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to
102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of
the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of
December 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(j) Interest rate represents discount rate at time of purchase; not a coupon rate.

(k) The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing
discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

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| | |
|:---|:---|
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $1,284,498,666 or 22.0% of net assets. |
|  ABS | Asset-Backed Securities |
|  ARMs | Adjustable Rate Mortgages |
|  CMT | Constant Maturity Treasury |
|  EMTN | Euro Medium Term Note |
|  FHLMC | Federal Home Loan Mortgage Corp. |
|  FNMA | Federal National Mortgage Association |
|  GMTN | Global Medium Term Note |
|  GNMA | Government National Mortgage Association |
|  LIBOR | London Interbank Offered Rate |
|  MTN | Medium Term Note |
|  REITs | Real Estate Investment Trusts |
|  SOFR | Secured Overnight Financing Rate |
|  TBA | To Be Announced |
|  MXN | Mexican Peso |
|  UYU | Uruguayan Peso |

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**Futures Contracts** 

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At December 31, 2022, open long futures contracts were as follows:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial Futures** | **Expiration<br>Date** | **Contracts** | **Notional<br>Amount** | **Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  10 Year U.S. Treasury Note | 3/22/2023 | 2826 | $319029931 | $317350969 | $(1678962) |
|  2 Year U.S. Treasury Note | 3/31/2023 | 669 | 137015549 | 137197266 | 181717 |
|  5 Year U.S. Treasury Note | 3/31/2023 | 3123 | 338638154 | 337064416 | (1573738) |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 112 | 13335543 | 13247500 | (88043) |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 528 | 71550203 | $70917000 | $(633203) |
|  Total | Total | Total | Total | Total | $(3792229) |

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**Fair Value Measurements** 

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — prices determined using other significant inputs that are observable either directly, or
indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable
inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best
information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

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The following is a summary of the inputs used to value the Fund's investments as of December 31, 2022, at value:

**Asset Valuation Inputs** 

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| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | $— | $7098460 | $102830 | $7201290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Non-Convertible Bonds\* |  | 5297158049 |  | 5297158049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Non-Convertible Bonds |  | 5304256509 | 102830 | 5304359339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipals\* |  | 7474753 |  | 7474753 |
|  Total Bonds and Notes |  | 5311731262 | 102830 | 5311834092 |
|  Senior Loans\* |  | 94829570 |  | 94829570 |
|  Collateralized Loan Obligations |  | 107280805 |  | 107280805 |
|  Short-Term Investments |  | 380278799 |  | 380278799 |
|  Total Investments |  | 5894120436 | 102830 | 5894223266 |
|  Futures Contracts (unrealized appreciation) | 181717 |  |  | 181717 |
|  Total | $181717 | $5894120436 | $102830 | $5894404983 |

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**Liability Valuation Inputs** 

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| | | | |
|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Total |
|  Futures Contracts (unrealized depreciation) | $(3973946) | $– $– $| (3973946) |

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\* Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

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The Fund's pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund's adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

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The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or December 31, 2022:

**Asset Valuation Inputs** 

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in<br> Securities | Balance as of<br>September 30, 2022 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain<br>(Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers into<br>Level 3 | Transfers out of<br>Level 3 | Balance as of<br>December 31,<br>2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held at<br>December 31,<br>2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Convertible Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | $122859 | $— | $82 | $563 | $601 | $(21275) | $— | $— | $102830 | $(496) |

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**Derivatives** 

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund's investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of December 31, 2022, the Fund used futures contracts and manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2022:

---

| | |
|:---|:---|
| Assets | Unrealized<br>appreciation on<br>futures contracts |
|  Exchange-traded asset derivatives Interest rate contracts | $181717 |

---

---

| | |
|:---|:---|
| Liabilities | Unrealized<br>depreciation on<br>futures contracts |
|  Exchange-traded liability derivatives Interest rate contracts | $(3973946) |

---

The Fund's derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund's investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2022:

---

| | |
|:---|:---|
| Maximum Amount of<br> Loss - Gross | Maximum Amount of<br> Loss - Net |
| $15530000 | $15530000 |

---

------

Industry Summary at December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  Treasuries | 28.3% |
|  Mortgage Related | 26.1 |
|  Banking | 6.6 |
|  Finance Companies | 2.3 |
|  Non-Agency Commercial Mortgage-Backed Securities | 2.2 |
|  Technology | 2.1 |
|  Government Owned - No Guarantee | 2.0 |
|  Other Investments, less than 2% each | 23.0 |
|  Short-Term Investments | 6.5 |
|  Collateralized Loan Obligations | 1.8 |
|  Total Investments | 100.9 |
|  Other assets less liabilities (including futures contracts) | (0.9) |
|  Net Assets | 100.0% |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Natixis Funds Trust I

- **b. Investment Company Act file number:** 811-04323

- **c. CIK number of Registrant:** 0000770540

- **d. LEI of Registrant:** 01YA4M3ZQ45K0V190G80

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000006660

- **c. LEI of Series:** ZG5PZ780OFPQSQX3BT09

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5949871968.84

**Total Liabilities:** $126317437.60

**Net Assets:** $5823554531.24

**Cash Not Reported:** $19029710.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4583.52000000 | **1-Year:** -120038.93000000 | **5-Year:** -302025.98000000 | **10-Year:** -301756.28000000 | **30-Year:** -226615.80000000

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

- **3-Month:** -863.33000000 | **1-Year:** -31740.99000000 | **5-Year:** -118975.97000000 | **10-Year:** -117062.35000000 | **30-Year:** -29627.20000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018170 | -1.48%               | 4.32%                | -0.62%               |
| Class ID C000125481 | -1.46%               | 4.48%                | -0.52%               |
| Class ID C000018171 | -1.38%               | 4.47%                | -0.61%               |
| Class ID C000018168 | -1.41%               | 4.40%                | -0.55%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-42184062.09            | $-47950115.20                              |
| Month 2  | $-11527808.11            | $233258918.42                              |
| Month 3  | $-26648226.57            | $-16309740.34                              |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                             | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED AIRLINES INC                              | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    2266000 | PA      | $2100414.32   | 0.04%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Limited              | Textainer Marine Containers VII Ltd                                             | CUSIP: 88315LAG3<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    3304252 | PA      | $2879397.59   | 0.05%             | 2045-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                  | CLI Funding VIII LLC                                                            | CUSIP: 12565KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9502578 | PA      | $8102600.63   | 0.14%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35280000 | PA      | $35329612.50  | 0.61%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7162000 | PA      | $6818660.45   | 0.12%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                | Expedia Group Inc                                                               | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1791000 | PA      | $1806182.09   | 0.03%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAB9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   15925000 | PA      | $15431165.75  | 0.26%             | 2024-03-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1154000 | PA      | $1080652.63   | 0.02%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176PG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2788724 | PA      | $2740241.54   | 0.05%             | 2064-12-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KUWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1562182 | PA      | $1327120.94   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GUVD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1594125 | PA      | $1477860.71   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133B9NP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3563172 | PA      | $3129758.23   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36179LAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2227 | PA      | $2167.77      | 0.00%             | 2063-05-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133JLRW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10249072 | PA      | $7667697.47   | 0.13%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                         | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   11260000 | PA      | $8763608.34   | 0.15%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                         | Outfront Media Capital LLC / Outfront Media Capital Corp                        | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4808000 | PA      | $3989341.84   | 0.07%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193EKX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2435010 | PA      | $2384347.51   | 0.04%             | 2066-02-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                     | Transelec SA                                                                    | CUSIP: 89366LAA2<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |    3713000 | PA      | $3701118.40   | 0.06%             | 2023-07-26      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                          | Asbury Automotive Group Inc                                                     | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      12000 | PA      | $10564.80     | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Beacon Roofing Supply, Inc.                      | Beacon Roofing Supply, Inc. 2021 Term Loan B                                    | CUSIP: 07368RAF8<br>LEI: 549300HDXQWWCBOYXP31 | Long             | LON              | CORP              | US        |    4832530 | PA      | $4783431.61   | 0.08%             | 2028-05-19      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144638 | PA      | $143634.74    | 0.00%             | 2062-08-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1532704 | PA      | $1368065.93   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7013000 | PA      | $6260417.86   | 0.11%             | 2037-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132XEDC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1598000 | PA      | $1309497.37   | 0.02%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   24210000 | PA      | $22681622.70  | 0.39%             | 2027-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                              | LCM XX LP                                                                       | CUSIP: 50188WAF5<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1965688.00   | 0.03%             | 2027-10-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                         | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   12823000 | PA      | $11268184.32  | 0.19%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y9PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     661679 | PA      | $633770.63    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7539000 | PA      | $5201407.15   | 0.09%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES Corp/The                                                                    | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    3587000 | PA      | $3382184.56   | 0.06%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    6925000 | PA      | $6898057.32   | 0.12%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1632539 | PA      | $1601713.90   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                           | Santander Holdings USA Inc                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    8220000 | PA      | $7052616.81   | 0.12%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F03X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1179806 | PA      | $1086329.81   | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193U5B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1288599 | PA      | $1266758.69   | 0.02%             | 2066-04-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  182200000 | PA      | $165915875.00 | 2.85%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KEWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997359 | PA      | $877362.66    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474740 | PA      | $463817.19    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KENBOURNE INVEST SA                              | Kenbourne Invest SA                                                             | CUSIP: 48855KAC4<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |    7180000 | PA      | $5640249.00   | 0.10%             | 2028-01-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KUMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5265677 | PA      | $4288277.93   | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  154795000 | PA      | $105931781.83 | 1.82%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                   | Ziff Davis Inc                                                                  | CUSIP: 48123VAF9<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |   11682000 | PA      | $9885074.76   | 0.17%             | 2030-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                     | Calpine Corp                                                                    | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   10104000 | PA      | $8476285.01   | 0.15%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CWM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484522 | PA      | $429036.11    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H3PZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240787 | PA      | $214921.65    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F3A81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873855 | PA      | $804288.12    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                          | Quikrete Holdings, Inc. 2016 1st Lien Term Loan                                 | CUSIP: 74839XAF6<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    1517945 | PA      | $1498970.99   | 0.03%             | 2027-02-01      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14940000 | PA      | $11026392.30  | 0.19%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                | Post Holdings Inc                                                               | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    5634000 | PA      | $4736281.54   | 0.08%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                           | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   12229000 | PA      | $10150816.70  | 0.17%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                           | BBVA Bancomer SA/Texas                                                          | CUSIP: 05533UAH1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |    7864000 | PA      | $7126750.00   | 0.12%             | 2025-09-18      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1624777 | PA      | $1324296.25   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ADJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6218740 | PA      | $5083920.14   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J8UW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371619 | PA      | $348250.11    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AJQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2827867 | PA      | $2309434.85   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 78 CLO Ltd                                                               | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5450000 | PA      | $5333931.35   | 0.09%             | 2033-04-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36181PFU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3026801 | PA      | $2992787.77   | 0.05%             | 2064-06-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                            | Freeport Indonesia PT                                                           | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    7565000 | PA      | $6955487.95   | 0.12%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YR3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457997 | PA      | $449010.47    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20290000 | PA      | $15471336.42  | 0.27%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FUFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548303 | PA      | $536274.26    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GPL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748194 | PA      | $716651.66    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                       | NBN Co Ltd                                                                      | CUSIP: 62878U2A9<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   16956000 | PA      | $14971693.75  | 0.26%             | 2026-05-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJYS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     944456 | PA      | $905670.19    | 0.02%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC                               | SunCoke Energy Inc                                                              | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |    3555000 | PA      | $3051567.56   | 0.05%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HEAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1853172 | PA      | $1853028.73   | 0.03%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                      | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1835000 | PA      | $1543146.09   | 0.03%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XAJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22685080 | PA      | $18505363.42  | 0.32%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                     | Entergy Corp                                                                    | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    4316000 | PA      | $3645461.10   | 0.06%             | 2030-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138X53P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72236 | PA      | $71023.50     | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL LIMITED                      | Fortress Credit BSL XII Ltd                                                     | CUSIP: 34963DAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1554705.25   | 0.03%             | 2034-10-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008859 | PA      | $902976.20    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3890000 | PA      | $2860185.91   | 0.05%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EXKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461842 | PA      | $414533.56    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JMXL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     671671 | PA      | $628163.64    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                          | United Airlines 2020-1 Class B Pass Through Trust                               | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3745992 | PA      | $3526401.95   | 0.06%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36213TET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1582 | PA      | $1627.27      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AJT78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5823365 | PA      | $4754748.49   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                     | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   13301000 | PA      | $9233138.94   | 0.16%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                         | OHA Credit Funding 8 Ltd                                                        | CUSIP: 67707GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7630000 | PA      | $7350452.06   | 0.13%             | 2034-01-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        112 | NC      | $-88042.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FB4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118120 | PA      | $109726.52    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                          | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    7588000 | PA      | $7545431.32   | 0.13%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE C0-ISSUER INC                         | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1155000 | PA      | $862623.30    | 0.01%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   75064834 | PA      | $75064834.05  | 1.29%             |  |  |  | No            |                  2 | On Loan: No      |
| MOHAWK INDUSTRIES INC                            | Mohawk Industries Inc                                                           | CUSIP: 608190AL8<br>LEI: 549300JI1115MG3Q6322 | Long             | DBT              | CORP              | US        |   12838000 | PA      | $11055315.32  | 0.19%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK16                                                                 | CUSIP: 065405AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1531640 | PA      | $1434301.67   | 0.02%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QNQJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188623 | PA      | $176766.72    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2885000 | PA      | $2112121.66   | 0.04%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                          | America Movil SAB de CV                                                         | CUSIP: 03217KAB4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   14780000 | PA      | $13377230.20  | 0.23%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                         | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    4696000 | PA      | $4335183.97   | 0.07%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1326000 | PA      | $1264608.94   | 0.02%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4209 | PA      | $4357.80      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nyack Park CLO, Ltd.                             | NYACK Park CLO Ltd                                                              | CUSIP: 67080PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2745000 | PA      | $2432514.69   | 0.04%             | 2034-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AJVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10633452 | PA      | $8683924.64   | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13612067 | PA      | $11095913.76  | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FDB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     893969 | PA      | $854430.20    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36225BKL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        558 | PA      | $574.99       | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    4091000 | PA      | $3499986.24   | 0.06%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                          | Quikrete Holdings, Inc. 2021 Term Loan B1                                       | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |    4007724 | PA      | $3971414.22   | 0.07%             | 2029-03-18      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XSFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2094775 | PA      | $1946317.53   | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4763000 | PA      | $4027830.95   | 0.07%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WWXV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8704052 | PA      | $7809154.18   | 0.13%             | 2037-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ADFV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6916039 | PA      | $5650364.66   | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6822 | PA      | $6492.04      | 0.00%             | 2063-05-20      | Floating      | 4.12%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KSJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1383545 | PA      | $1174722.05   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2010-C1 Mortgage Trust                                                     | CUSIP: 12622DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     829196 | PA      | $803279.84    | 0.01%             | 2046-07-10      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2018-CH1                                                 | CUSIP: 81747DAA7<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     489901 | PA      | $451646.34    | 0.01%             | 2048-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J82H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     602460 | PA      | $564571.77    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    8585000 | PA      | $6096857.61   | 0.10%             | 2033-01-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAB1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    8050000 | PA      | $6158440.87   | 0.11%             | 2045-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176PHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3363682 | PA      | $3307899.66   | 0.06%             | 2065-02-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ADVC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468061 | PA      | $383283.76    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOCIEDAD QUIMICA Y MINER                         | Sociedad Quimica y Minera de Chile SA                                           | CUSIP: 833636AJ2<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |   10424000 | PA      | $8833714.56   | 0.15%             | 2050-01-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                 | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAE3<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   12019175 | PA      | $9392841.03   | 0.16%             | 2051-12-05      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                           | Clearway Energy Operating LLC                                                   | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |   12579000 | PA      | $10443701.79  | 0.18%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                        | Jabil Inc                                                                       | CUSIP: 466313AK9<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    5460000 | PA      | $4519564.36   | 0.08%             | 2031-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5660000 | PA      | $5157208.11   | 0.09%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L1VM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14666452 | PA      | $11975103.12  | 0.21%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36194NND7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1197487 | PA      | $1178103.49   | 0.02%             | 2066-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| VALVOLINE INC                                    | Valvoline Inc                                                                   | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |    5155000 | PA      | $4229832.15   | 0.07%             | 2031-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WEEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882620 | PA      | $1752551.41   | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   11367000 | PA      | $10212094.61  | 0.18%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217603 | PA      | $215439.55    | 0.00%             | 2060-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36183HGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3825136 | PA      | $3766731.87   | 0.06%             | 2064-10-20      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                       | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   13750000 | PA      | $8307308.08   | 0.14%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XH4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36157708 | PA      | $35693989.56  | 0.61%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                      | Textron Inc                                                                     | CUSIP: 883203CB5<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    1329000 | PA      | $1129420.20   | 0.02%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176HLZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1104 | PA      | $1027.88      | 0.00%             | 2062-12-20      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9UB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37054898 | PA      | $28628582.51  | 0.49%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2020-GC45                                          | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6596065 | PA      | $5418205.67   | 0.09%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                          | America Movil SAB de CV                                                         | CUSIP: 02364WBJ3<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    5400000 | PA      | $4584272.81   | 0.08%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176PGH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323786 | PA      | $321437.68    | 0.01%             | 2064-01-20      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                         | EQM Midstream Partners LP                                                       | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    2445000 | PA      | $2336808.75   | 0.04%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L1UH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2011809 | PA      | $1643657.24   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                               | Macquarie Bank Ltd                                                              | CUSIP: 55608PBJ2<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |   11895000 | PA      | $11442207.90  | 0.20%             | 2025-03-21      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72530000 | PA      | $74014598.44  | 1.27%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36295NGV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83317 | PA      | $86662.81     | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3131Y8KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7195139 | PA      | $7210291.21   | 0.12%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FB4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371633 | PA      | $355119.99    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   17028000 | PA      | $15345582.52  | 0.26%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12486000 | PA      | $13322851.92  | 0.23%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                              | CUSIP: 05964HAM7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3200000 | PA      | $2543695.49   | 0.04%             | 2031-03-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MJBH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5027865 | PA      | $4422302.04   | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                           | Aramark Services, Inc. 2021 Term Loan B                                         | CUSIP: 03852JAS0<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    3584551 | PA      | $3527198.49   | 0.06%             | 2028-04-06      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                 | WFRBS Commercial Mortgage Trust 2014-C20                                        | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    5245978 | PA      | $5059347.61   | 0.09%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133N3YU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17689339 | PA      | $13894034.47  | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        528 | NC      | $-633202.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SMB Private Education Loan Trust                 | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3700049 | PA      | $3172645.33   | 0.05%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                   | CarVal CLO III Ltd                                                              | CUSIP: 14686WAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3515000 | PA      | $3207370.72   | 0.06%             | 2032-07-20      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| ENTEL CHILE SA                                   | Empresa Nacional de Telecomunicaciones SA                                       | CUSIP: 29245VAE5<br>LEI: 529900N4SUIP0URJT330 | Long             | DBT              | CORP              | CL        |    5305000 | PA      | $4217475.00   | 0.07%             | 2032-09-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2021-1                                   | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6705237 | PA      | $6589291.83   | 0.11%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GY6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1909295 | PA      | $1767471.51   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9681461 | PA      | $8741405.93   | 0.15%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health Incorporated                | Elanco Animal Health Incorporated Term Loan B                                   | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    4082389 | PA      | $3913337.41   | 0.07%             | 2027-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JPPV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1122015 | PA      | $1050381.61   | 0.02%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                  | Cemex SAB de CV                                                                 | CUSIP: 151290BZ5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |    8962000 | PA      | $7564240.77   | 0.13%             | 2031-07-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2011-GC5                                           | CUSIP: 36191YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5627003 | PA      | $4234334.39   | 0.07%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19250000 | PA      | $19320683.69  | 0.33%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36181PEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2179921 | PA      | $2154107.88   | 0.04%             | 2064-01-20      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| BRASKEM AMERICA FINANCE                          | Braskem America Finance Co                                                      | CUSIP: 10554CAA0<br>LEI: 254900QMQAJ26H49CL75 | Long             | DBT              | CORP              | US        |   20353000 | PA      | $19288765.04  | 0.33%             | 2041-07-22      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                      | Corning Inc                                                                     | CUSIP: 219350BQ7<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   10254000 | PA      | $8849833.85   | 0.15%             | 2079-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A4QD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1522875 | PA      | $1350272.33   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LXUA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1407763 | PA      | $1195136.88   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1821431 | PA      | $1618614.76   | 0.03%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                        | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2795000 | PA      | $2715737.88   | 0.05%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133JLN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1906886 | PA      | $1591361.76   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                         | OHA Credit Partners XIII Ltd                                                    | CUSIP: 67110NAX3<br>LEI: 549300EX32IF3NZCVL73 | Long             | ABS-CBDO         | CORP              | KY        |    3895000 | PA      | $3692253.57   | 0.06%             | 2034-10-25      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XC6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3403385 | PA      | $2888055.89   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust                                                       | CUSIP: 89171DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298545 | PA      | $1252165.26   | 0.02%             | 2053-10-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| NVR INC                                          | NVR Inc                                                                         | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |    8190000 | PA      | $6875447.59   | 0.12%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2016-2                                                | CUSIP: 89172PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5101352 | PA      | $4652849.80   | 0.08%             | 2055-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FP4V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772132 | PA      | $1574117.45   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WEKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80850 | PA      | $75262.10     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2021-2                                   | CUSIP: 80286XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8315000 | PA      | $8088717.25   | 0.14%             | 2026-06-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-c                                | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9527824 | PA      | $8131102.60   | 0.14%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MNQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6321037 | PA      | $5932226.99   | 0.10%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78392492 | PA      | $77339508.45  | 1.33%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                      | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2245000 | PA      | $2015529.88   | 0.03%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers Clo 40 Ltd                                       | CUSIP: 64134JAC7<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |    3410000 | PA      | $3281350.93   | 0.06%             | 2033-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QN6J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17924171 | PA      | $15198006.76  | 0.26%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FKH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479654 | PA      | $471283.05    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BD4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081917 | PA      | $1067947.35   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1707000 | PA      | $1616535.95   | 0.03%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468926 | PA      | $471059.14    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176PHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1448468 | PA      | $1425860.00   | 0.02%             | 2065-03-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769242 | PA      | $770061.91    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Restoration Hardware, Inc.                       | Restoration Hardware, Inc. Term Loan B                                          | CUSIP: 76133MAB7<br>LEI: 5493008MTS3OGGMHGK69 | Long             | LON              | CORP              | US        |    6582303 | PA      | $6040908.55   | 0.10%             | 2028-10-20      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36182HLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2717558 | PA      | $2669583.19   | 0.05%             | 2066-03-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FTYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502623 | PA      | $456475.89    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GSVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432240 | PA      | $407589.40    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XURG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82421 | PA      | $80353.00     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                         | Virgin Media Bristol LLC USD Term Loan N                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3715845 | PA      | $3648179.35   | 0.06%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BBSQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36703123 | PA      | $32228020.48  | 0.55%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, LTD                                 | Carbone Clo Ltd                                                                 | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |    2035000 | PA      | $2004835.20   | 0.03%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Summit Materials Companies I, LLC                | Summit Materials Companies I, LLC 2017 Term Loan B                              | CUSIP: 86614DAH1<br>LEI: 549300C97P3BW8QROE16 | Long             | LON              | CORP              | US        |          0 | PA      | $0.00         | 0.00%             | 2024-11-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                 | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CAX7<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   14421000 | PA      | $14864669.71  | 0.26%             | 2035-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QB4M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1246758 | PA      | $1103267.50   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                           | Group 1 Automotive Inc                                                          | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16928.60     | 0.00%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                   | CarVal CLO II Ltd                                                               | CUSIP: 14686AAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $367750.40    | 0.01%             | 2032-04-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133SKAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1569343 | PA      | $1428552.94   | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                                      | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    9290000 | PA      | $9665729.96   | 0.17%             | 2039-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31371JMC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4657 | PA      | $4794.05      | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  118500000 | PA      | $118504628.61 | 2.03%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16028000 | PA      | $15798117.29  | 0.27%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13550863 | PA      | $11508366.77  | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2022-2                                   | CUSIP: 80286MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19695000 | PA      | $18970145.22  | 0.33%             | 2027-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1622096.92   | 0.03%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2021-VII Ltd                                                       | CUSIP: 12567HAJ1<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    7190000 | PA      | $6454254.49   | 0.11%             | 2035-01-23      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                             | Tencent Holdings Ltd                                                            | CUSIP: 88032WAW6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   13563000 | PA      | $8120162.81   | 0.14%             | 2060-06-03      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L6S96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6185554 | PA      | $5047325.07   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                       | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   11303000 | PA      | $9397840.24   | 0.16%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK DE MEXICO                         | Kimberly-Clark de Mexico SAB de CV                                              | CUSIP: 494386AD7<br>LEI: 549300JGHL56QT00KT54 | Long             | DBT              | CORP              | MX        |    2157000 | PA      | $1724327.37   | 0.03%             | 2031-07-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                   | EPR Properties                                                                  | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    3790000 | PA      | $2745859.59   | 0.05%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        | 2256243100 | PA      | $112496641.06 | 1.93%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FSA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484616 | PA      | $450502.85    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2017-CH1                                                 | CUSIP: 81746HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109667 | PA      | $102335.12    | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6247630 | PA      | $6067381.10   | 0.10%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                  | Atrium XIII                                                                     | CUSIP: 04966HAA4<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $990524.00    | 0.02%             | 2030-11-21      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WWXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2105511 | PA      | $1918813.85   | 0.03%             | 2037-07-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36230RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41817 | PA      | $39078.85     | 0.00%             | 2062-04-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK24                                                                 | CUSIP: 06540VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6138240 | PA      | $5332553.03   | 0.09%             | 2062-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                            | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2014000 | PA      | $1826332.84   | 0.03%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                          | CUSIP: 67091TAA3<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   17320000 | PA      | $17268351.76  | 0.30%             | 2024-04-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    9038000 | PA      | $8099442.20   | 0.14%             | 2026-03-19      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation            | AMMC CLO 22 Ltd                                                                 | CUSIP: 00177HAG4<br>LEI: 549300ZW9D4NPX7LOC22 | Long             | ABS-CBDO         | CORP              | KY        |    1585000 | PA      | $1427511.23   | 0.02%             | 2031-04-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   10936000 | PA      | $9561113.83   | 0.16%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   15425000 | PA      | $12382167.32  | 0.21%             | 2028-02-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AT2C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11206243 | PA      | $9514267.90   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2018-3                                                | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4742622 | PA      | $4483615.43   | 0.08%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Enel Generacion Chile SA                         | Enel Generacion Chile SA                                                        | CUSIP: 29246RAA1<br>LEI: 549300PVHXUFEIE6LY50 | Long             | DBT              | CORP              | CL        |    1348000 | PA      | $1329626.76   | 0.02%             | 2024-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                        | Qorvo Inc                                                                       | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    4505000 | PA      | $4148879.75   | 0.07%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5573000 | PA      | $5066276.20   | 0.09%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NATURA &CO LUX HLD SARL                          | Natura &Co Luxembourg Holdings Sarl                                             | CUSIP: 63884WAA6<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |    5250000 | PA      | $4592542.50   | 0.08%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                               | Boston Gas Co                                                                   | CUSIP: 100743AL7<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    2701000 | PA      | $2311565.34   | 0.04%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                         | Microchip Technology Inc                                                        | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    6371000 | PA      | $6343790.41   | 0.11%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 2019-1 Ltd                                                        | CUSIP: 05875JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1342775.00   | 0.02%             | 2032-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FRESNILLO PLC                                    | Fresnillo PLC                                                                   | CUSIP: 358070AB6<br>LEI: 549300JXWH1UV5J0XV81 | Long             | DBT              | CORP              | GB        |   13633000 | PA      | $10751256.46  | 0.18%             | 2050-10-02      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133KNK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   81178156 | PA      | $68868241.75  | 1.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC                     | Jack in the Box Funding LLC                                                     | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8116400 | PA      | $7036464.28   | 0.12%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion Clo XIX Ltd                                                           | CUSIP: 07133VAG1<br>LEI: 549300RYHI0ZPOOD3O84 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $353998.80    | 0.01%             | 2034-04-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36196RNZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4245786 | PA      | $4171562.65   | 0.07%             | 2066-12-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2495000 | PA      | $1960571.00   | 0.03%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                | Riserva Clo Ltd                                                                 | CUSIP: 76761RBE8<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |    3250000 | PA      | $2959424.00   | 0.05%             | 2034-01-18      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14179842 | PA      | $12275886.25  | 0.21%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36225BB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12074 | PA      | $12411.37     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36179ACZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4398 | PA      | $4258.32      | 0.00%             | 2063-07-20      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank Auto Credit-Linked Notes Series 2022-C                           | CUSIP: 80290CBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1310000 | PA      | $1309764.20   | 0.02%             | 2032-12-15      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   13774000 | PA      | $13134369.46  | 0.23%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    8213000 | PA      | $7101428.93   | 0.12%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KULJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13330428 | PA      | $10902553.01  | 0.19%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     783000 | PA      | $649791.87    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2826 | NC      | $-1678962.60  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                             | BANK 2019-BNK22                                                                 | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12696152 | PA      | $11067568.34  | 0.19%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5KC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1945843 | PA      | $2010139.68   | 0.03%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WWX31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2102956 | PA      | $1913605.14   | 0.03%             | 2037-07-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                          | CUSIP: 853254CH1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   18840000 | PA      | $14289198.00  | 0.25%             | 2033-01-12      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YF4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1604910 | PA      | $1495653.88   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                              | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    2333000 | PA      | $2031333.07   | 0.03%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ABNB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8893007 | PA      | $7271221.30   | 0.12%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAIDU INC                                        | Baidu Inc                                                                       | CUSIP: 056752AQ1<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |    4515000 | PA      | $4255071.45   | 0.07%             | 2025-04-07      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                | CUSIP: 22822VAQ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     983000 | PA      | $756772.38    | 0.01%             | 2050-07-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     930000 | PA      | $935896.16    | 0.02%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                             | Natura Cosmeticos SA                                                            | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |   11615000 | PA      | $9477956.15   | 0.16%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                           | Goodyear Tire & Rubber Co/The                                                   | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   10719000 | PA      | $8749933.31   | 0.15%             | 2033-04-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20959003 | PA      | $18546860.61  | 0.32%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44725000 | PA      | $39972968.75  | 0.69%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                 | Antares Holdings LP                                                             | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    6872000 | PA      | $5901467.44   | 0.10%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2018-CH3                                                 | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |     254872 | PA      | $246536.26    | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                              | Elmwood CLO III Ltd                                                             | CUSIP: 29002HAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2520000 | PA      | $2454550.56   | 0.04%             | 2034-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KVLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9037189 | PA      | $7388042.81   | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ACBY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7723020 | PA      | $6311871.20   | 0.11%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1042539 | PA      | $994379.62    | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FHNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304692 | PA      | $297238.50    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12748382 | PA      | $10413326.09  | 0.18%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust           | Santander Drive Auto Receivables Trust 2021-3                                   | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9095000 | PA      | $8747973.00   | 0.15%             | 2027-09-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BANGKOK BANK PCL/HK                              | Bangkok Bank PCL/Hong Kong                                                      | CUSIP: 059895AR3<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |   15850000 | PA      | $15615494.81  | 0.27%             | 2024-03-19      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                  | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   26613000 | PA      | $25209919.53  | 0.43%             | 2025-11-19      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HLUZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322799 | PA      | $314644.29    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| E.W. Scripps Company (The)                       | E.W. Scripps Company (The) 2020 Term Loan B3                                    | CUSIP: 26928BAM1<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    2964421 | PA      | $2877089.09   | 0.05%             | 2028-01-07      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                               | Forestar Group Inc                                                              | CUSIP: 346232AF8<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |    4091000 | PA      | $3586540.79   | 0.06%             | 2026-05-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36180SRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1782543 | PA      | $1758297.06   | 0.03%             | 2064-06-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bharti Airtel Ltd                                | Bharti Airtel Ltd                                                               | CUSIP: 08860HAA2<br>LEI: 335800KQ1FPKOQ84OR26 | Long             | DBT              | CORP              | IN        |   17567000 | PA      | $17066323.46  | 0.29%             | 2025-06-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SEMPRA GLOBAL                                    | Sempra Global                                                                   | CUSIP: 81685VAA1<br>LEI: 549300L0B3MD11PUAA07 | Long             | DBT              | CORP              | US        |   12205000 | PA      | $9730499.59   | 0.17%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AFGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5147194 | PA      | $4209795.57   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WVVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3666189 | PA      | $3232266.32   | 0.06%             | 2037-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                        | iStar Inc                                                                       | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              |  | US        |   13668000 | PA      | $13393608.75  | 0.23%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193QUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1538904 | PA      | $1504891.71   | 0.03%             | 2066-10-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                           | Egypt Government International Bond                                             | CUSIP: 03846JX54<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   15265000 | PA      | $11273202.50  | 0.19%             | 2032-05-29      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98170000 | PA      | $97602454.69  | 1.68%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JBB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3190379 | PA      | $2905426.86   | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                    | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2836921 | PA      | $2656675.44   | 0.05%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193DJP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2688410 | PA      | $2635996.37   | 0.05%             | 2066-06-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                               | Betony CLO 2 Ltd                                                                | CUSIP: 08763QAC6<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |    1675000 | PA      | $1607226.15   | 0.03%             | 2031-04-30      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192968 | PA      | $172929.01    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KLMY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5700667 | PA      | $4857946.68   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61249241 | PA      | $54474433.61  | 0.94%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                                  | Ascot Group Ltd                                                                 | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |    2585000 | PA      | $2223494.32   | 0.04%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UPC Broadband Holding B.V.                       | UPC Broadband Holding B.V. 2020 USD Term Loan AT                                | CUSIP: 000000000<br>LEI: 213800DXWIS9KORQ3X94 | Long             | LON              | CORP              | US        |    3220147 | PA      | $3136616.49   | 0.05%             | 2028-04-30      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BJN81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3937205 | PA      | $3793858.08   | 0.07%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DPL INC                                          | DPL Inc                                                                         | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2415000 | PA      | $2166240.58   | 0.04%             | 2029-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175885000 | PA      | $166973951.81 | 2.87%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ALPEK SA DE CV                                   | Alpek SAB de CV                                                                 | CUSIP: 020564AE0<br>LEI: 549300PWKJTP62D4IQ66 | Long             | DBT              | CORP              | MX        |    1610000 | PA      | $1341534.69   | 0.02%             | 2031-02-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HCL AMERICA INC                                  | HCL America Inc                                                                 | CUSIP: 40480HAA5<br>LEI: 549300CBM0L7W7N2EB94 | Long             | DBT              | CORP              | US        |   11320000 | PA      | $10006653.60  | 0.17%             | 2026-03-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36177TPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1713124 | PA      | $1689716.41   | 0.03%             | 2063-12-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15815000 | PA      | $15874306.25  | 0.27%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                | Magnetite XXIII Ltd                                                             | CUSIP: 55954NAQ2<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |    4320000 | PA      | $4044509.28   | 0.07%             | 2035-01-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| American Builders & Contractors Supply Co., Inc. | American Builders & Contractors Supply Co., Inc. 2019 Term Loan                 | CUSIP: 02474RAH6<br>LEI: 549300H5GQ4C1BEKG397 | Long             | LON              | CORP              | US        |    5061803 | PA      | $5013007.41   | 0.09%             | 2027-01-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36183SWC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2762667 | PA      | $2721095.69   | 0.05%             | 2065-01-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                         | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    5147000 | PA      | $4121717.60   | 0.07%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7695000 | PA      | $7009067.70   | 0.12%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36184EG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2527989 | PA      | $2487928.98   | 0.04%             | 2065-02-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Koppers Inc                                      | Koppers Inc                                                                     | CUSIP: 500605AH3<br>LEI: LTO4ZL5EBDR1NE6FGJ36 | Long             | DBT              | CORP              | US        |    6317000 | PA      | $6001150.00   | 0.10%             | 2025-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUS30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3144128 | PA      | $2913788.33   | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11204536 | PA      | $9503739.09   | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                 | Bain Capital Credit CLO 2021-4 Ltd                                              | CUSIP: 05685AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $369022.92    | 0.01%             | 2034-10-20      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   17750000 | PA      | $13002940.00  | 0.22%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                | Magnetite Xxx Ltd                                                               | CUSIP: 55953UAG9<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1782327.30   | 0.03%             | 2034-10-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Transelec SA                                     | Transelec SA                                                                    | CUSIP: 89366LAD6<br>LEI: 549300DPF7MAL5F6CR86 | Long             | DBT              | CORP              | CL        |    7133000 | PA      | $6934102.86   | 0.12%             | 2025-01-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                   | Crown City CLO III                                                              | CUSIP: 22824DAC3<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |    7655000 | PA      | $7398320.20   | 0.13%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FPYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778318 | PA      | $694195.73    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2021-1                                      | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3525000 | PA      | $3387480.59   | 0.06%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| DANA INC                                         | Dana Inc                                                                        | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |    2945000 | PA      | $2372550.90   | 0.04%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                 | OneMain Financial Issuance Trust 2021-1                                         | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13500000 | PA      | $12851203.50  | 0.22%             | 2036-06-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                           | CUSIP: 760942BC5<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |  213447000 | PA      | $4873853.34   | 0.08%             | 2028-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                     | Ares XXXVII CLO Ltd                                                             | CUSIP: 04015NAJ3<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $385305.20    | 0.01%             | 2030-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31385V7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10145 | PA      | $10194.74     | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A4V52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1856317 | PA      | $1642503.99   | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        784 | PA      | $681.79       | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  3 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     568000 | PA      | $469477.45    | 0.01%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EX2F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1305080 | PA      | $1201513.94   | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                                      | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   11825000 | PA      | $10262445.21  | 0.18%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                | Lithia Motors Inc                                                               | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    6632000 | PA      | $5395830.48   | 0.09%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YNM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136066 | PA      | $132789.52    | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84151 | PA      | $75614.74     | 0.00%             | 2063-04-20      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                         | Brighthouse Financial Inc                                                       | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |   12491000 | PA      | $11879890.19  | 0.20%             | 2030-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4501989.95   | 0.08%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                | Post Holdings Inc                                                               | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    4996000 | PA      | $4310249.04   | 0.07%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                           | Millicom International Cellular SA                                              | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    5452000 | PA      | $4585775.66   | 0.08%             | 2031-04-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                 | Bain Capital Credit CLO 2019-1                                                  | CUSIP: 05683VAW4<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |    1165000 | PA      | $1088939.48   | 0.02%             | 2034-04-19      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36230KSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5167 | PA      | $5054.05      | 0.00%             | 2061-08-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                            | Cayuga Park CLO Ltd                                                             | CUSIP: 149791AS4<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |     525000 | PA      | $503065.50    | 0.01%             | 2034-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XVI Ltd                                                            | CUSIP: 89642DAA6<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $973929.00    | 0.02%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc                                  | Hanesbrands Inc                                                                 | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |     856000 | PA      | $829059.64    | 0.01%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Pacific Gas & Electric Company                   | Pacific Gas & Electric Company 2020 Term Loan                                   | CUSIP: 69338CAH4<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | LON              | CORP              | US        |    3670274 | PA      | $3637021.16   | 0.06%             | 2025-06-23      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1449645 | PA      | $1387825.92   | 0.02%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| SRAM, LLC                                        | SRAM, LLC 2021 Term Loan B                                                      | CUSIP: 85232BAT3<br>LEI: 5493005GYDYQG38FCT53 | Long             | LON              | CORP              | US        |    2599085 | PA      | $2524361.57   | 0.04%             | 2028-05-18      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594990 | PA      | $588784.72    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YDML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517794 | PA      | $483732.18    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XWC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822300 | PA      | $762741.00    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31385RAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6922 | PA      | $6927.70      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36195QB34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3885711 | PA      | $3813170.14   | 0.07%             | 2066-11-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H7H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358660 | PA      | $342812.88    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50465774 | PA      | $42844701.20  | 0.74%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Silver Creek CLO                                 | Silver Creek CLO Ltd                                                            | CUSIP: 827551AS1<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $937643.00    | 0.02%             | 2030-07-20      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BGCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10144737 | PA      | $9516156.69   | 0.16%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KPP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2875091 | PA      | $2400223.78   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BAFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5760183 | PA      | $5236050.17   | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP CLO 2021-21 Ltd                                                             | CUSIP: 671000AJ6<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |    1150000 | PA      | $1042532.50   | 0.02%             | 2034-07-20      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096216 | PA      | $981870.04    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    7676000 | PA      | $7520724.19   | 0.13%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc                                  | Hanesbrands Inc                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    2037000 | PA      | $1820204.00   | 0.03%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176F4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17953 | PA      | $16865.12     | 0.00%             | 2062-11-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       3123 | NC      | $-1573738.40  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    2396000 | PA      | $2355547.37   | 0.04%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                            | DB Master Finance LLC                                                           | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   14652000 | PA      | $12042874.40  | 0.21%             | 2051-11-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46925000 | PA      | $41140027.34  | 0.71%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KXHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233873 | PA      | $1050768.95   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RE/MAX International, Inc.                       | RE/MAX International, Inc. 2021 Term Loan B                                     | CUSIP: 75523KAK1<br>LEI: 549300GN7WEUE9HKXH55 | Long             | LON              | CORP              | US        |    4289675 | PA      | $3987596.09   | 0.07%             | 2028-07-21      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KUNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6426745 | PA      | $5254724.18   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2245000 | PA      | $1955904.23   | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                          | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    9284000 | PA      | $8118858.00   | 0.14%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2723249 | PA      | $2726152.86   | 0.05%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2020-III Ltd                                                       | CUSIP: 12560EAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4252054.50   | 0.07%             | 2034-10-20      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Enel Americas SA                                 | Enel Americas SA                                                                | CUSIP: 29274FAF1<br>LEI: 549300LKH11TFCJLZK20 | Long             | DBT              | CORP              | CL        |    2811000 | PA      | $2674301.07   | 0.05%             | 2026-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                            | Owl Rock Capital Corp                                                           | CUSIP: 69121KAF1<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    3537000 | PA      | $2917780.88   | 0.05%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                               | Elmwood CLO IV Ltd                                                              | CUSIP: 29002GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2655965.70   | 0.05%             | 2033-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Limited              | Textainer Marine Containers Ltd                                                 | CUSIP: 88315LAS7<br>LEI: 549300Q7RHLEMSLA9Y26 | Long             | ABS-O            | CORP              | US        |   19483600 | PA      | $15811194.69  | 0.27%             | 2046-08-20      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank Auto Credit-Linked Notes Series 2022-C                           | CUSIP: 80290CBF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2065000 | PA      | $2064624.17   | 0.04%             | 2032-12-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                          | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   22346000 | PA      | $20779443.50  | 0.36%             | 2026-01-30      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19121 | PA      | $19774.72     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOCIEDAD QUIMICA Y MINER                         | Sociedad Quimica y Minera de Chile SA                                           | CUSIP: 833636AL7<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |    2130000 | PA      | $1568659.80   | 0.03%             | 2051-09-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                   | Palmer Square Loan Funding 2020-4 Ltd                                           | CUSIP: 69701PAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2120000 | PA      | $2057691.08   | 0.04%             | 2028-11-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                           | Orbia Advance Corp SAB de CV                                                    | CUSIP: 59284BAD0<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    9466000 | PA      | $9151291.57   | 0.16%             | 2042-09-19      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                             | BlueMountain CLO XXIX Ltd                                                       | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1575000 | PA      | $1503058.73   | 0.03%             | 2034-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Equifax Inc                                      | Equifax Inc                                                                     | CUSIP: 294429AG0<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    4324000 | PA      | $4504331.08   | 0.08%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                              | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    4740000 | PA      | $3493711.80   | 0.06%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140K8ZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199676 | PA      | $188520.19    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    4540000 | PA      | $4648357.00   | 0.08%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2019-V Ltd                                                         | CUSIP: 12554XAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2367542.50   | 0.04%             | 2035-01-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    9985000 | PA      | $8808847.08   | 0.15%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1475744.29   | 0.03%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                | Iron Mountain Inc                                                               | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |   12214000 | PA      | $10039175.16  | 0.17%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FALABELLA SA                                     | Falabella SA                                                                    | CUSIP: 30607FAA8<br>LEI: 5493004CKJQ7H391LM41 | Long             | DBT              | CORP              | CL        |    8985000 | PA      | $7183635.09   | 0.12%             | 2032-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12459 | PA      | $10909.39     | 0.00%             | 2062-12-20      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| 1011778 B.C. Unlimited Liability Company         | 1011778 B.C. Unlimited Liability Company Term Loan B4                           | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |    4887105 | PA      | $4795471.49   | 0.08%             | 2026-11-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                                                     | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1825000 | PA      | $1824631.46   | 0.03%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                                      | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    7669000 | PA      | $7168323.97   | 0.12%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                         | Science Applications International Corp                                         | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |      39000 | PA      | $36074.92     | 0.00%             | 2028-04-01      | Fixed         | 4.88%                 | 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        |    6365000 | PA      | $5332439.72   | 0.09%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362195 | PA      | $353136.16    | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LG3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6633566 | PA      | $6143218.96   | 0.11%             | 2038-07-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                         | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    5620467 | PA      | $5136858.64   | 0.09%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BGDW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12590082 | PA      | $11813893.02  | 0.20%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AC4M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17994098 | PA      | $14704080.48  | 0.25%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                               | Grupo Televisa SAB                                                              | CUSIP: 000000000<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |   54020000 | PA      | $1701450.50   | 0.03%             | 2043-05-14      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-H                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3926306 | PA      | $3523764.65   | 0.06%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                              | Iron Mountain, Inc. 2018 Term Loan B                                            | CUSIP: 46284NAQ2<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |    3610014 | PA      | $3551351.60   | 0.06%             | 2026-01-02      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AR3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3198473 | PA      | $3071657.02   | 0.05%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36210AZH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2901 | PA      | $2981.89      | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                    | Aircastle Ltd                                                                   | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   20287000 | PA      | $16591851.77  | 0.28%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133JLRZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1327307 | PA      | $1107702.92   | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2021-1                                      | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1066905 | PA      | $1059662.87   | 0.02%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                            | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    9905000 | PA      | $6385526.58   | 0.11%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                 | AMC Networks Inc                                                                | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    9549000 | PA      | $5949958.03   | 0.10%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                           | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        | 3428157000 | PA      | $74079921.48  | 1.27%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A6ZX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1278894 | PA      | $1125591.32   | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XMGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93722 | PA      | $92068.14     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                    | CUSIP: 06738EBS3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   18664000 | PA      | $12596900.24  | 0.22%             | 2042-03-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                               | Leviathan Bond Ltd                                                              | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |    9078204 | PA      | $8880843.85   | 0.15%             | 2025-06-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BG4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2818411 | PA      | $2712507.74   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2015-4                                                | CUSIP: 89171UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4254377 | PA      | $4124125.84   | 0.07%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc.                           | SS&C Technologies Inc. 2018 Term Loan B5                                        | CUSIP: 78466DBF0<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |    4103947 | PA      | $4026998.02   | 0.07%             | 2025-04-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244282 | PA      | $234144.21    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC                     | Jack in the Box Funding LLC                                                     | CUSIP: 466365AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13657025 | PA      | $10709046.90  | 0.18%             | 2052-02-26      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                     | Post CLO 2021-1 LTD                                                             | CUSIP: 73742FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5670000 | PA      | $5421364.83   | 0.09%             | 2034-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                         | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAA0<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   11659000 | PA      | $11315176.09  | 0.19%             | 2025-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3409380 | PA      | $2979813.12   | 0.05%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AEWT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25543000 | PA      | $20868637.62  | 0.36%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36295NG92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4447 | PA      | $4661.53      | 0.00%             | 2038-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31371E2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $259.50       | 0.00%             | 2024-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KRHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1938858 | PA      | $1618605.18   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132DMEH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3667342 | PA      | $3244793.81   | 0.06%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                     | Navient Corp                                                                    | CUSIP: 78442FET1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    6547000 | PA      | $6413567.03   | 0.11%             | 2024-03-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                      | Equifax Inc                                                                     | CUSIP: 294429AR6<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    2133000 | PA      | $1984035.57   | 0.03%             | 2025-12-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1863000 | PA      | $1312133.67   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                   | Air Lease Corp                                                                  | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   16050000 | PA      | $15033367.00  | 0.26%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    6444000 | PA      | $6226052.97   | 0.11%             | 2025-09-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133N3XW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38065108 | PA      | $28477992.24  | 0.49%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                             | Smithfield Foods Inc                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    1599000 | PA      | $1217467.44   | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OOREDOO INTL FINANCE                             | Ooredoo International Finance Ltd                                               | CUSIP: 74735K2A9<br>LEI: 549300BHXCDJ03WU7N77 | Long             | DBT              | CORP              | BM        |    6236000 | PA      | $6209659.14   | 0.11%             | 2023-02-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FTBW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1747979 | PA      | $1621949.69   | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    7364000 | PA      | $6225304.68   | 0.11%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KHJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9287697 | PA      | $7926256.99   | 0.14%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36178TH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     973716 | PA      | $957650.82    | 0.02%             | 2065-01-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AJGL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2965227 | PA      | $2421610.07   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                     | Navient Corp                                                                    | CUSIP: 63938CAK4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5252478.00   | 0.09%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FMYD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242261 | PA      | $236326.33    | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QPKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8250460 | PA      | $7503078.42   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36179LAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12932 | PA      | $12877.76     | 0.00%             | 2063-07-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FP5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253990 | PA      | $1162660.38   | 0.02%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QPFM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67112858 | PA      | $61040047.48  | 1.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                           | CenterPoint Energy Inc                                                          | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   12220000 | PA      | $12077715.94  | 0.21%             | 2024-05-13      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   11576000 | PA      | $9538111.88   | 0.16%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59670000 | PA      | $59269092.19  | 1.02%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                | CSC Holdings, LLC 2017 Term Loan B1                                             | CUSIP: 64072UAE2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |          0 | PA      | $0.00         | 0.00%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES Corp/The                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1609000 | PA      | $1419138.00   | 0.02%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M2D90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17218231 | PA      | $14033898.56  | 0.24%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                          | OHA Credit Partners VII Ltd                                                     | CUSIP: 67102QBF4<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |     720000 | PA      | $664130.88    | 0.01%             | 2034-02-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                         | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5769000 | PA      | $4403335.96   | 0.08%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding                       | Donlen Fleet Lease Funding 2 LLC                                                | CUSIP: 257812AD9<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |    6404196 | PA      | $6188606.49   | 0.11%             | 2034-12-11      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E0SN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410519 | PA      | $400554.35    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F0PC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     501701 | PA      | $495301.25    | 0.01%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2413873 | PA      | $2413309.57   | 0.04%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LHM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160000 | PA      | $152854.77    | 0.00%             | 2032-09-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97150000 | PA      | $91916802.49  | 1.58%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36206J5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1550 | PA      | $1552.43      | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2017-1 Ltd                                                   | CUSIP: 77340EAY2<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    1495000 | PA      | $1408874.55   | 0.02%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                          | SBA Communications Corp                                                         | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |   11510000 | PA      | $9570449.90   | 0.16%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                               | Wind River 2021-3 CLO Ltd                                                       | CUSIP: 97316DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242318.00    | 0.00%             | 2033-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BAIDU INC                                        | Baidu Inc                                                                       | CUSIP: 056752AT5<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |    2425000 | PA      | $1927705.25   | 0.03%             | 2030-10-09      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YAN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407491 | PA      | $394199.06    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1085815 | PA      | $972890.66    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    7956000 | PA      | $5369792.25   | 0.09%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BHYL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16738098 | PA      | $16114930.27  | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2019-GC43                                   | CUSIP: 17328HBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7070071 | PA      | $6157223.02   | 0.11%             | 2052-11-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                         | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    8277000 | PA      | $7705833.03   | 0.13%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                  | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $2853990.00   | 0.05%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6989604 | PA      | $6739386.18   | 0.12%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176HMP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        801 | PA      | $741.65       | 0.00%             | 2063-01-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2020-GC46                                   | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8877514 | PA      | $7491884.98   | 0.13%             | 2053-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                         | Republic of South Africa Government International Bond                          | CUSIP: 836205BE3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   14320000 | PA      | $12322360.00  | 0.21%             | 2052-04-20      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352606 | PA      | $309671.42    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                    | Lunar 2021-1 Structured Aircraft Portfolio Notes                                | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    6788374 | PA      | $5548124.55   | 0.10%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KSB22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12265777 | PA      | $10024571.32  | 0.17%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FVVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1335812 | PA      | $1239914.41   | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AYV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25432784 | PA      | $20729217.85  | 0.36%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5931000 | PA      | $5440213.61   | 0.09%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD                             | Gilbert Park CLO Ltd                                                            | CUSIP: 375415AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1536640.05   | 0.03%             | 2030-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133JLNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2201257 | PA      | $1837039.15   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMMIT MATERIALS LLC/FIN                         | Summit Materials LLC / Summit Materials Finance Corp                            | CUSIP: 86614RAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      17000 | PA      | $15827.43     | 0.00%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                | General Motors Co                                                               | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   16142000 | PA      | $13899888.31  | 0.24%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                            | Alibaba Group Holding Ltd                                                       | CUSIP: 01609WBA9<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    3081000 | PA      | $1842834.86   | 0.03%             | 2061-02-09      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                              | FS KKR Capital Corp                                                             | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   17929000 | PA      | $15898598.12  | 0.27%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L6SH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5524089 | PA      | $4510407.05   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AYUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16840104 | PA      | $14287737.72  | 0.25%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   26019000 | PA      | $24897222.04  | 0.43%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9872861 | PA      | $8666766.62   | 0.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YXGE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341173 | PA      | $334364.77    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AllSpring Buyer LLC                              | AllSpring Buyer LLC Term Loan B                                                 | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3103168 | PA      | $3055844.58   | 0.05%             | 2028-11-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  175610000 | PA      | $174368382.86 | 2.99%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H3U53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745552 | PA      | $693068.16    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3131Y3GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     818842 | PA      | $817362.43    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OWL ROCK TECHNOLOGY FINA                         | Owl Rock Technology Finance Corp                                                | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |   10958000 | PA      | $9583337.53   | 0.16%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L5HW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6685890 | PA      | $5455622.80   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70430000 | PA      | $48976361.37  | 0.84%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KLM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9400679 | PA      | $7991518.56   | 0.14%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132XEDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1725000 | PA      | $1413568.81   | 0.02%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36182HQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2737302 | PA      | $2694389.52   | 0.05%             | 2064-12-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1084627 | PA      | $988051.51    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust            | Westlake Automobile Receivables Trust 2022-2                                    | CUSIP: 96042VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6865000 | PA      | $6674015.70   | 0.11%             | 2027-09-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MVKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17173163 | PA      | $16533601.15  | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    7064000 | PA      | $6401611.55   | 0.11%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FDDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359973 | PA      | $333831.75    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WVVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263084 | PA      | $1140183.08   | 0.02%             | 2037-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W6RR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136065 | PA      | $127002.26    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                         | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    5874112 | PA      | $5648819.25   | 0.10%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2012-II-R Ltd                                                      | CUSIP: 12551PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2165000 | PA      | $2124646.57   | 0.04%             | 2028-01-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36177TPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1236974 | PA      | $1225993.69   | 0.02%             | 2064-01-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GTNN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572392 | PA      | $559551.81    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A9HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1316752 | PA      | $1076004.18   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Churchill Downs Incorporated                     | Churchill Downs Incorporated 2021 Incremental Term Loan B1                      | CUSIP: 17148PAF8<br>LEI: 529900FODTBQC8MIS994 | Long             | LON              | CORP              | US        |    3191488 | PA      | $3156924.05   | 0.05%             | 2028-03-17      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LY4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13398245 | PA      | $11374110.80  | 0.20%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     601000 | PA      | $564193.68    | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        669 | NC      | $181717.79    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FQ2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430986 | PA      | $386435.66    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8MU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20090893 | PA      | $16424957.44  | 0.28%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                         | Sensata Technologies Inc                                                        | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    4204000 | PA      | $3458378.52   | 0.06%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36194QQA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1679930 | PA      | $1646867.02   | 0.03%             | 2066-09-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11                     | CUSIP: 61762TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3825000 | PA      | $3769419.69   | 0.06%             | 2046-08-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KED96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2117295 | PA      | $1764971.84   | 0.03%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  234700000 | PA      | $167581301.37 | 2.88%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6737000 | PA      | $4939661.17   | 0.08%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49100000 | PA      | $30491866.94  | 0.52%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   14630000 | PA      | $12472337.32  | 0.21%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     531315 | PA      | $509483.03    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIVAR SOLUTIONS USA INC                         | Univar Solutions USA Inc/Washington                                             | CUSIP: 91337CAA4<br>LEI: 5493008FTB9VZW6CVA82 | Long             | DBT              | CORP              | US        |    3031000 | PA      | $2874448.85   | 0.05%             | 2027-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                               | Ally Financial Inc                                                              | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   15905000 | PA      | $15724998.34  | 0.27%             | 2023-06-05      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    8160000 | PA      | $7854114.24   | 0.13%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176HLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4081 | PA      | $3754.03      | 0.00%             | 2062-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC                       | Navigator Aircraft ABS Ltd                                                      | CUSIP: 63943BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9380907 | PA      | $7879509.08   | 0.14%             | 2046-11-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132XEDD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2103000 | PA      | $1723324.76   | 0.03%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEAMERICA FINL PARTNERS                         | OneAmerica Financial Partners Inc                                               | CUSIP: 682441AB6<br>LEI: 5493009S1SVD6UNUDB08 | Long             | DBT              | CORP              | US        |    2327000 | PA      | $1672763.95   | 0.03%             | 2050-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F9PB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14864 | PA      | $14534.64     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                            | Owl Rock Capital Corp                                                           | CUSIP: 69121KAE4<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   13397000 | PA      | $11697683.66  | 0.20%             | 2026-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   26146000 | PA      | $24513284.27  | 0.42%             | 2025-04-22      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                               | AOA 2021-1177 Mortgage Trust                                                    | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22085000 | PA      | $20448965.29  | 0.35%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KEX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5706185 | PA      | $4869732.32   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36212DCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5117 | PA      | $5259.19      | 0.00%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9JZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3195142 | PA      | $3247508.15   | 0.06%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193QU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5289053 | PA      | $5163755.49   | 0.09%             | 2066-12-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| AEA International Holdings (Lux) S.a.r.l.        | AEA International Holdings (Lux) S.a.r.l. Term Loan B                           | CUSIP: 46033XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    4148401 | PA      | $4096545.86   | 0.07%             | 2028-09-07      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| ASHLAND LLC                                      | Ashland LLC                                                                     | CUSIP: 04433LAA0<br>LEI: 6O4MRU8C1MS0K34UQF79 | Long             | DBT              | CORP              | US        |    2595000 | PA      | $2074107.73   | 0.04%             | 2031-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410324 | PA      | $392854.32    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                      | Asurion LLC 2020 Term Loan B8                                                   | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    5493149 | PA      | $4885496.50   | 0.08%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A7YH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3580997 | PA      | $3046946.62   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E4CS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1427925 | PA      | $1371302.40   | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2020-I Ltd                                                         | CUSIP: 12555QAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1935000 | PA      | $1865208.42   | 0.03%             | 2036-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FP5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576054 | PA      | $514002.12    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36201MM58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10616 | PA      | $10912.04     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                 | Symphony CLO XIV Ltd                                                            | CUSIP: 87159QBZ0<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $396590.00    | 0.01%             | 2026-07-14      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5106590.38   | 0.09%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                          | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  296800000 | PA      | $13776491.42  | 0.24%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2112208 | PA      | $1903610.72   | 0.03%             | 2037-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KTPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5558243 | PA      | $4545257.89   | 0.08%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABC SUPPLY CO INC                                | American Builders & Contractors Supply Co Inc                                   | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |   13390000 | PA      | $10943245.30  | 0.19%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                     | Post CLO 2022-1 LTD                                                             | CUSIP: 73742YAC9<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |    1245000 | PA      | $1198864.04   | 0.02%             | 2035-04-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1296832 | PA      | $1300251.37   | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                          | Uber Technologies, Inc. 2021 Term Loan B                                        | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |    3595706 | PA      | $3586069.26   | 0.06%             | 2027-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36176HLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1358 | PA      | $1239.65      | 0.00%             | 2062-11-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                         | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBK9<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    5865000 | PA      | $3841184.98   | 0.07%             | 2060-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | OneMain Finance Corp                                                            | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    8215000 | PA      | $6532732.30   | 0.11%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3115 | PA      | $2986.74      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    8548000 | PA      | $8448653.61   | 0.15%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   14151433 | PA      | $13301967.48  | 0.23%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                            | American Homes 4 Rent LP                                                        | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    1715000 | PA      | $1067219.38   | 0.02%             | 2051-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2014-GC18                                          | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2317554 | PA      | $2121688.47   | 0.04%             | 2047-01-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36178FKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2588 | PA      | $2531.44      | 0.00%             | 2063-05-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QMJC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22147172 | PA      | $18051511.77  | 0.31%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd                          | Long Point Park CLO Ltd                                                         | CUSIP: 542798AE3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |    1190000 | PA      | $1149601.88   | 0.02%             | 2030-01-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                            | Citadel Securities LP 2021 Term Loan B                                          | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    3615635 | PA      | $3540610.68   | 0.06%             | 2028-02-02      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| EL PUERTO DE LIVERPOOL                           | El Puerto de Liverpool SAB de CV                                                | CUSIP: 283837AB8<br>LEI: 4469000001BO4JEXZL32 | Long             | DBT              | CORP              | MX        |   22289000 | PA      | $21063105.00  | 0.36%             | 2026-10-06      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2491315 | PA      | $2230674.57   | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                      | Viatris Inc                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    1903000 | PA      | $1172510.33   | 0.02%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                 | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    4749112 | PA      | $4164202.31   | 0.07%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394560 | PA      | $352793.59    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                            | Palmer Square CLO 2015-2 Ltd                                                    | CUSIP: 69689CBA3<br>LEI: 549300PACXK2KP6J2T91 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $247286.26    | 0.00%             | 2030-07-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                           | Orbia Advance Corp SAB de CV                                                    | CUSIP: 59284BAE8<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    7271000 | PA      | $6316681.25   | 0.11%             | 2044-09-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PAN AMERICAN ENERGY LLC                          | Pan American Energy LLC/Argentina                                               | CUSIP: 69784DAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |    6117000 | PA      | $6853609.14   | 0.12%             | 2027-04-30      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KUMY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13958319 | PA      | $11414427.40  | 0.20%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10131 | PA      | $9131.76      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KMBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2769754 | PA      | $2356971.88   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F8R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228561 | PA      | $1130578.59   | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31385H5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5004 | PA      | $5134.04      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A94W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12841141 | PA      | $10926126.46  | 0.19%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   24397000 | PA      | $19809144.15  | 0.34%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MERCADOLIBRE INC                                 | MercadoLibre Inc                                                                | CUSIP: 58733RAF9<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |    4582000 | PA      | $3542344.20   | 0.06%             | 2031-01-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XVIII Ltd                                                          | CUSIP: 89640LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $485999.00    | 0.01%             | 2035-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                   | Palmer Square Loan Funding 2020-1 Ltd                                           | CUSIP: 69701EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     415000 | PA      | $407896.03    | 0.01%             | 2028-02-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5236059 | PA      | $4444470.77   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2019-III Ltd                                                       | CUSIP: 12554VAU0<br>LEI: 254900SVOWCOSOG16T40 | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $510059.16    | 0.01%             | 2034-10-16      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                             | Saudi Arabian Oil Co                                                            | CUSIP: 80414L2M6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |   10588000 | PA      | $7176673.46   | 0.12%             | 2070-11-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35535089 | PA      | $30154639.61  | 0.52%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KQTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1732014 | PA      | $1360948.51   | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133ACXP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8277687 | PA      | $6764208.56   | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MOLEX ELECTRONICS TECH                           | Molex Electronic Technologies LLC                                               | CUSIP: 60856BAC8<br>LEI: 549300WTBVUFUPSIWI20 | Long             | DBT              | CORP              | US        |    6151000 | PA      | $5850866.57   | 0.10%             | 2025-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132DMTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1249780 | PA      | $1061246.93   | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7453000 | PA      | $6688471.63   | 0.11%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MAYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6016854 | PA      | $5471793.66   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KATR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774730 | PA      | $682247.59    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31374TPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2169 | PA      | $2223.19      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                           | FMG Resources August 2006 Pty Ltd                                               | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    9977000 | PA      | $8297706.18   | 0.14%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25240000 | PA      | $25113800.00  | 0.43%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                                 | MP CLO VIII Ltd                                                                 | CUSIP: 62481WAL1<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |     465000 | PA      | $448005.18    | 0.01%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                 | OneMain Financial Issuance Trust 2020-A                                         | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3476492 | PA      | $3446923.96   | 0.06%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                          | Asbury Automotive Group Inc                                                     | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     242000 | PA      | $202397.09    | 0.00%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2018-EXP1 Trust                                                             | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004981 | PA      | $917478.96    | 0.02%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YKNE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2189318 | PA      | $1967535.42   | 0.03%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36194PBT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1460719 | PA      | $1433202.15   | 0.02%             | 2066-06-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KX2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33758201 | PA      | $27580475.58  | 0.47%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                          | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |   11391292 | PA      | $10992596.78  | 0.19%             | 2024-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | Edison International                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     852000 | PA      | $837857.87    | 0.01%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AC3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1272697 | PA      | $1041496.74   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1135000 | PA      | $1045973.44   | 0.02%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                  | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5436215 | PA      | $4573166.94   | 0.08%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| COMETA ENERGIA SA                                | Cometa Energia SA de CV                                                         | CUSIP: 20039FAA7<br>LEI: 5493007L8UH7TYXKI505 | Long             | DBT              | CORP              | MX        |   21248458 | PA      | $20374146.85  | 0.35%             | 2035-04-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                             | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   24503000 | PA      | $23036212.69  | 0.40%             | 2025-01-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GQQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257568 | PA      | $246325.62    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAF9<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    3513000 | PA      | $3376133.52   | 0.06%             | 2025-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                                      | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    5427000 | PA      | $5347865.17   | 0.09%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                                                     | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  121955000 | PA      | $121955000.00 | 2.09%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXV Ltd                                                   | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     475000 | PA      | $448896.38    | 0.01%             | 2032-04-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31386V2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2613 | PA      | $2677.53      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                            | WMG Acquisition Corp. 2021 Term Loan G                                          | CUSIP: 92929LAV0<br>LEI: 549300NAS11NXI33CP80 | Long             | LON              | CORP              | US        |    3643832 | PA      | $3596753.83   | 0.06%             | 2028-01-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KPP23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4906874 | PA      | $3898132.21   | 0.07%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FPU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1621249 | PA      | $1592648.36   | 0.03%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                              | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   11000000 | PA      | $9709030.87   | 0.17%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67980000 | PA      | $67608234.38  | 1.16%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WWX56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6127930 | PA      | $5275300.39   | 0.09%             | 2037-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Gruma SAB de CV                                  | Gruma SAB de CV                                                                 | CUSIP: 400131AG3<br>LEI: 5493000XJLJ6C4T0PG82 | Long             | DBT              | CORP              | MX        |    2032000 | PA      | $2009140.00   | 0.03%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GPLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     831463 | PA      | $793958.59    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC             | SoFi Professional Loan Program 2020-ATrust                                      | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2607206 | PA      | $2359305.79   | 0.04%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   17264000 | PA      | $16006763.87  | 0.27%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                      | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    7696000 | PA      | $7640096.26   | 0.13%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   22355000 | PA      | $18747261.80  | 0.32%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGJT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3784487 | PA      | $2921803.99   | 0.05%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36193DG89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1191505 | PA      | $1165793.53   | 0.02%             | 2066-02-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                          | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    6985000 | PA      | $5839460.00   | 0.10%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                            | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     982000 | PA      | $868455.12    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | OneMain Finance Corp                                                            | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2850000 | PA      | $2359714.50   | 0.04%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270669 | PA      | $265016.25    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     125000 | PA      | $105882.18    | 0.00%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418BXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781012 | PA      | $767232.61    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   22047000 | PA      | $18666578.91  | 0.32%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2603538 | PA      | $2366067.54   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AB2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6136106 | PA      | $5017077.63   | 0.09%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MED Trust                                        | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8370000 | PA      | $8055126.46   | 0.14%             | 2038-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| EMPRESA DE LOS FERROCARR                         | Empresa de los Ferrocarriles del Estado                                         | CUSIP: 292487AA3<br>LEI: 8755006LY8XNRFOGWN86 | Long             | DBT              | CORP              | CL        |    3903000 | PA      | $2439280.59   | 0.04%             | 2050-08-18      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HRL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591979 | PA      | $554124.21    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   11391000 | PA      | $7624348.62   | 0.13%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QKE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61139381 | PA      | $49865873.47  | 0.86%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133B2X61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62319595 | PA      | $52870153.87  | 0.91%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PPM Clo, Ltd.                                    | PPM CLO 5 Ltd                                                                   | CUSIP: 69356TAC5<br>LEI: 5493001Z3ZE83NGK8Y12 | Long             | ABS-CBDO         | CORP              | KY        |    3730000 | PA      | $3563944.50   | 0.06%             | 2034-10-18      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION USA CORP                            | BOC Aviation USA Corp                                                           | CUSIP: 66980P2A6<br>LEI: 254900QKLTY6MF4Y3P65 | Long             | DBT              | CORP              | US        |   17141000 | PA      | $16269828.04  | 0.28%             | 2024-04-29      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133KGMP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6655571 | PA      | $5969180.11   | 0.10%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41156659 | PA      | $34044815.48  | 0.58%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418BPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3270285 | PA      | $2948459.62   | 0.05%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   13610000 | PA      | $12601255.38  | 0.22%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432MT9<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   14622000 | PA      | $13560773.55  | 0.23%             | 2043-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Trans Union, LLC                                 | Trans Union, LLC 2019 Term Loan B5                                              | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    3623563 | PA      | $3568557.02   | 0.06%             | 2026-11-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 30 Senior Loan Fund                                                      | CUSIP: 26249BAQ4<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |     840755 | PA      | $830719.00    | 0.01%             | 2028-11-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                     | CUSIP: 00973RAE3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    2626000 | PA      | $2489952.30   | 0.04%             | 2025-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                | Generate CLO 9 LTD                                                              | CUSIP: 37147LAA7<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $482070.00    | 0.01%             | 2034-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KFVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110673 | PA      | $998729.79    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   13513000 | PA      | $11810711.31  | 0.20%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418BQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396520 | PA      | $341877.13    | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   93095000 | PA      | $2125733.21   | 0.04%             | 2028-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                             | Signal Peak CLO 12 Ltd                                                          | CUSIP: 82671XAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $972694.00    | 0.02%             | 2034-07-18      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                               | CUSIP: 36204TXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17500 | PA      | $17509.31     | 0.00%             | 2025-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                            | Georgetown University/The                                                       | CUSIP: 37310PAB7<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |    3408000 | PA      | $2983124.64   | 0.05%             | 2118-10-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133JLJM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4500830 | PA      | $3751029.63   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-NRD                                                              | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7135000 | PA      | $6639126.06   | 0.11%             | 2038-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Calpine Corporation                              | Calpine Corporation 2019 Term Loan B10                                          | CUSIP: 13134MBS1<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    4482647 | PA      | $4419352.00   | 0.08%             | 2026-08-12      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| University of Virginia                           | UNIV OF VIRGINIA VA UNIV REVENUES                                               | CUSIP: 915217XA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   12785000 | PA      | $7474752.81   | 0.13%             | 2119-09-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                | Magnetite XXI Ltd                                                               | CUSIP: 55954PAQ7<br>LEI: 5493007R5RBJT1RFJC86 | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1187782.50   | 0.02%             | 2034-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KTP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7530900 | PA      | $6133037.33   | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRF SA                                           | BRF SA                                                                          | CUSIP: 10552TAH0<br>LEI: 254900MTXR9LUVQFU480 | Long             | DBT              | CORP              | BR        |   13008000 | PA      | $9267289.44   | 0.16%             | 2050-09-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7DY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958369 | PA      | $958792.26    | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XLVI Ltd                                                   | CUSIP: 55822AAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1544190.45   | 0.03%             | 2034-10-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| THAIOIL TRSRY CENTER                             | Thaioil Treasury Center Co Ltd                                                  | CUSIP: 88322YAB7<br>LEI: 549300NH03B9E8VGJR89 | Long             | DBT              | CORP              | TH        |   19664000 | PA      | $15067540.00  | 0.26%             | 2043-01-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53284472 | PA      | $44076692.17  | 0.76%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                           | CUSIP: 25714PEG9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    9370000 | PA      | $7230112.57   | 0.12%             | 2041-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                 | WFRBS Commercial Mortgage Trust 2011-C4                                         | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4982141 | PA      | $4456022.43   | 0.08%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                      | CUSIP: 034863AY6<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    3322000 | PA      | $2426171.21   | 0.04%             | 2050-09-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QPCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4733597 | PA      | $4154290.78   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MINERVA LUXEMBOURG SA                            | Minerva Luxembourg SA                                                           | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |   10765000 | PA      | $8834081.95   | 0.15%             | 2031-03-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KRMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2898043 | PA      | $2368515.44   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 31329PE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1502522 | PA      | $1503427.86   | 0.03%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31411FLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56618 | PA      | $58446.38     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1338000 | PA      | $1341324.78   | 0.02%             | 2036-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M4EG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79831 | PA      | $77698.85     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                        | Lear Corp                                                                       | CUSIP: 521865AZ8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |   12381000 | PA      | $10136871.94  | 0.17%             | 2049-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BGYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66402958 | PA      | $63926639.43  | 1.10%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18277 | PA      | $17884.09     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71990000 | PA      | $54965489.48  | 0.94%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HE6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1420089 | PA      | $1339099.41   | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                          | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     690000 | PA      | $647805.92    | 0.01%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16398856 | PA      | $13360984.99  | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211497 | PA      | $189700.14    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   10356000 | PA      | $9738729.58   | 0.17%             | 2025-02-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE                            | Banco Santander Chile                                                           | CUSIP: 05970FAC5<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |   10051000 | PA      | $9534449.26   | 0.16%             | 2025-01-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WGYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     716187 | PA      | $704353.31    | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XCV6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    5067000 | PA      | $4799234.03   | 0.08%             | 2025-02-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OP LP/PAT                         | Pattern Energy Operations LP / Pattern Energy Operations Inc                    | CUSIP: 70339PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5584000 | PA      | $5006806.88   | 0.09%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates            | Countrywide Asset-Backed Certificates                                           | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12026 | PA      | $11868.54     | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CONTL AIRLINES 2012-2 A                          | Continental Airlines 2012-2 Class A Pass Through Trust                          | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1483822 | PA      | $1411426.34   | 0.02%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Klabin Austria GmbH                              | Klabin Austria GmbH                                                             | CUSIP: 49836AAB0<br>LEI: 984500578YEA8DD41B09 | Long             | DBT              | CORP              | AT        |   10675000 | PA      | $10472235.95  | 0.18%             | 2049-04-03      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** Natixis Funds Trust I

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer