# EDGAR Filing Document

**Accession Number:** 0000756913
**File Stem:** 0001145549-23-009592
**Filing Date:** 2023-2
**Character Count:** 337056
**Document Hash:** a3a08ffef52acce0cfdcb12202376023
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009592.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009592

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JOHN HANCOCK VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0000756913
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04146
- **FILM NUMBER:** 23664301

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JOHN HANCOCK TRUST
- **DATE OF NAME CHANGE:** 20050124

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MANUFACTURERS INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 19971022

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NASL SERIES FUND INC
- **DATE OF NAME CHANGE:** 19881030

## Series and Classes Contracts Data

### Investment Quality Bond Trust (Series ID: S000008273)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000022567 | NAV          |  |
| C000022568 | Series I     |  |
| C000022569 | Series II    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Variable Insurance Trust

- **b. Investment Company Act file number:** 811-04146

- **c. CIK number of Registrant:** 0000756913

- **d. LEI of Registrant:** Z5DUWKEPW78QKD87GA06

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-312-0176

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

- **a. Name of Series:** Investment Quality Bond Trust

- **b. EDGAR series identifier (if any):** S000008273

- **c. LEI of Series:** 60Q7C9MVDY13ALSK8V97

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $262494503.06

**Total Liabilities:** $58703452.45

**Net Assets:** $203791050.61

**Delayed Delivery Securities:** $58561476.20

**Cash Not Reported:** $5704.78

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -376.359952000000 | **1-Year:** -8363.698584000000 | **5-Year:** -28749.260745000000 | **10-Year:** -45073.450228000000 | **30-Year:** -16052.571990000000

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

- **3-Month:** -43.598478000000 | **1-Year:** -1092.240575000000 | **5-Year:** -3808.193587000000 | **10-Year:** -2389.696806000000 | **30-Year:** -593.394371000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022567 | -1.42%               | 4.18%                | -0.43%               |
| Class ID C000022568 | -1.47%               | 4.16%                | -0.43%               |
| Class ID C000022569 | -1.49%               | 4.15%                | -0.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5541249.27             | $888384.78                                 |
| Month 2  | $-533355.28              | $10160646.29                               |
| Month 3  | $1628538.82              | $-4109245.12                               |

**Designated Index Information**

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

- **Index Identifier:** BA1

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Credit Suisse Group AG                                                          | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR            | CUSIP: 225401AV0<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    250000 | PA      | $227674.03    | 0.11%             | 2028-08-11      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                          | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR            | CUSIP: 225401AZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    790000 | PA      | $693140.72    | 0.34%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| DBJPM 20-C9 MORTGAGE TRUST DBJPM 2020 C9 XA                                     | DEUTSCHE BANK COMMERCIAL MO 09/53 1                           | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527727 | PA      | $36620.51     | 0.02%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                                                 | DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55                  | CUSIP: 23371DAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |    435000 | PA      | $404249.64    | 0.20%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S SR UNSECURED 144A 01/24 5.375                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    235000 | PA      | $233053.44    | 0.11%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A                              | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A            | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100171 | PA      | $84188.54     | 0.04%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                   | DEUTSCHE ALT-A SECURITIES MORT DBALT 2007 AR2 A1              | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38549 | PA      | $35734.33     | 0.02%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Aktiengesellschaft                                                | DEUTSCHE BANK AG/NEW YORK NY SR UNSECURED 11/27 VAR           | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    180000 | PA      | $152618.84    | 0.07%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc.                                                         | DIAMONDBACK ENERGY INC COMPANY GUAR 03/33 6.25                | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45673.47     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc.                                                         | DIAMONDBACK ENERGY INC COMPANY GUAR 03/53 6.25                | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53149.57     | 0.03%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                    | DISCOVERY COMMUNICATIONS LLC COMPANY GUAR 09/47 5.2           | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     93000 | PA      | $69082.37     | 0.03%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                    | DISCOVERY COMMUNICATIONS LLC COMPANY GUAR 05/49 5.3           | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    247000 | PA      | $186753.82    | 0.09%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                    | DISCOVERY COMMUNICATIONS LLC COMPANY GUAR 09/55 4             | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    246000 | PA      | $147814.45    | 0.07%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc.                                                            | DOMINION ENERGY INC SR UNSECURED 11/32 5.375                  | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158589.68    | 0.08%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                                                | DOMINO'S PIZZA MASTER ISSUER L DPABS 2018 1A A2I 144A         | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355200 | PA      | $336225.57    | 0.16%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                                                | DOMINO'S PIZZA MASTER ISSUER L DPABS 2019 1A A2 144A          | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170188 | PA      | $147014.77    | 0.07%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 07/33 VAR                         | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42278.46     | 0.02%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc.                                                               | T-MOBILE USA INC                                              | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    185000 | PA      | $158883.92    | 0.08%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc.                                                               | T-MOBILE USA INC COMPANY GUAR 01/33 5.2                       | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54504.11     | 0.03%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                             | ANHEUSER-BUSCH INBEV WORLDWIDE COMPANY GUAR 01/39 5.45        | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    138000 | PA      | $137697.56    | 0.07%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                            | ELEVANCE HEALTH INC SR UNSECURED 10/25 5.35                   | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10110.69     | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal S.A.                                                              | ARCELORMITTAL SA SR UNSECURED 11/27 6.55                      | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     70000 | PA      | $70329.36     | 0.03%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal S.A.                                                              | ARCELORMITTAL SA SR UNSECURED 11/32 6.8                       | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     45000 | PA      | $44745.52     | 0.02%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-2 ARRW 2019 2 A1 144A                                | ARROYO MORTGAGE TRUST 04/49 1                                 | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190566 | PA      | $176272.71    | 0.09%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital Inc.                                                            | ASHTEAD CAPITAL INC SECURED 144A 08/27 4.375                  | CUSIP: 045054AF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    605000 | PA      | $565402.02    | 0.28%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | ATHENE GLOBAL FUNDING SECURED 144A 10/31 2.646                | CUSIP: 04685A3E9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $164250.22    | 0.08%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | ATHENE GLOBAL FUNDING SECURED 144A 01/29 2.717                | CUSIP: 04685A3G4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $293141.67    | 0.14%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLI LTD ATRM 12A AR 144A                                   | ATRIUM XII ATRM 12A AR 144A                                   | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    639913 | PA      | $632993.41    | 0.31%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc.                                                                   | AUTOZONE INC SR UNSECURED 08/32 4.75                          | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    105000 | PA      | $101764.45    | 0.05%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Avantor Funding Inc.                                                            | AVANTOR FUNDING INC COMPANY GUAR 144A 07/28 4.625             | CUSIP: 05352TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $340740.00    | 0.17%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust 2021-REV1                                             | AVANT LOANS FUNDING TRUST 2021 AVNT 2021 REV1 A 144A          | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $214299.14    | 0.11%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C18 BBCMS 2022 C18 A4                                 | BBCMS MORTGAGE TRUST 2022-C18 BBCMS 2022 C18 A4               | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $153885.29    | 0.08%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C18 BBCMS 2022 C18 A5                                 | BBCMS MORTGAGE TRUST 2022-C18 BBCMS 2022 C18 A5               | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $52314.71     | 0.03%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| B.A.T Capital Corporation                                                       | BAT CAPITAL CORP COMPANY GUAR 03/32 4.742                     | CUSIP: 05526DBW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $421479.09    | 0.21%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 01/48 FIXED 3                                          | FREDDIE MAC GOLD POOL FG 01/48 FIXED 3                        | CUSIP: 3132XVUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103673 | PA      | $92861.09     | 0.05%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 03/48 FIXED 3.5                                        | FREDDIE MAC FG 03/48 FIXED 3.5                                | CUSIP: 3132XXEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82807 | PA      | $76706.74     | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2                                               | FREDDIE MAC POOL FR 01/52 FIXED 2                             | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6158354 | PA      | $5035302.79   | 2.47%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2                                               | FREDDIE MAC POOL FR 01/52 FIXED 2                             | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4633853 | PA      | $3783021.19   | 1.86%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                                             | FREDDIE MAC POOL FR 01/52 FIXED 2.5                           | CUSIP: 3133KNL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2007980 | PA      | $1706671.87   | 0.84%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 2.5                                             | FREDDIE MAC POOL FR 05/52 FIXED 2.5                           | CUSIP: 3133KPWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2242817 | PA      | $1906270.23   | 0.94%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2016 38 NA                                                | FANNIE MAE REMICS FNR 2016 38 NA                              | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47137 | PA      | $42761.19     | 0.02%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2017 26 CG                                                | FANNIE MAE REMICS FNR 2017 26 CG                              | CUSIP: 3136AWCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61342 | PA      | $59575.55     | 0.03%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2017 35 AH                                                | FANNIE MAE REMICS FNR 2017 35 AH                              | CUSIP: 3136AWNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73602 | PA      | $71563.77     | 0.04%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2017 34 JK                                                | FANNIE MAE REMICS FNR 2017 34 JK                              | CUSIP: 3136AWTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37260 | PA      | $35269.90     | 0.02%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2017 49 JA                                                | FANNIE MAE REMICS FNR 2017 49 JA                              | CUSIP: 3136AXJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68542 | PA      | $67008.73     | 0.03%             | 2053-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 11/33 FIXED 7                                              | GINNIE MAE GN 11/33 FIXED 7                                   | CUSIP: 36241KJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13815 | PA      | $14249.69     | 0.01%             | 2033-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 11/31 FIXED 7                                              | GINNIE MAE GN 11/31 FIXED 7                                   | CUSIP: 36241KJ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4632 | PA      | $4722.15      | 0.00%             | 2031-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 06/32 FIXED 7                                              | GINNIE MAE GN 06/32 FIXED 7                                   | CUSIP: 36241KJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       793 | PA      | $810.10       | 0.00%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 05/33 FIXED 7                                              | GINNIE MAE GN 05/33 FIXED 7                                   | CUSIP: 36241KJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37129 | PA      | $38278.74     | 0.02%             | 2033-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 07/33 FIXED 7                                              | GINNIE MAE GN 07/33 FIXED 7                                   | CUSIP: 36241KJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5015 | PA      | $5158.60      | 0.00%             | 2033-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 03/32 FIXED 7                                              | GINNIE MAE GN 03/32 FIXED 7                                   | CUSIP: 36241KJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2332 | PA      | $2376.67      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                                  | GTP ACQUISITION PARTNERS I LLC SECURED 144A 06/50 3.482       | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    730000 | PA      | $680019.46    | 0.33%             | 2025-06-16      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2 GSMS 2014 GC20 A5                                | GS MORTGAGE SECURITIES TRUST 2 GSMS 2014 GC20 A5              | CUSIP: 36252WAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $385984.95    | 0.19%             | 2047-04-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                          | GSK CONSUMER HEALTHCARE CAPITA COMPANY GUAR 03/29 3.375       | CUSIP: 36264FAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $224809.06    | 0.11%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies Inc.                                                 | GE HEALTHCARE HOLDING LLC COMPANY GUAR 144A 11/27 5.65        | CUSIP: 36267VAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $126462.56    | 0.06%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies Inc.                                                 | GE HEALTHCARE HOLDING LLC COMPANY GUAR 144A 03/30 5.857       | CUSIP: 36267VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $127920.22    | 0.06%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies Inc.                                                 | GE HEALTHCARE HOLDING LLC COMPANY GUAR 144A 11/32 5.905       | CUSIP: 36267VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $103619.83    | 0.05%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMS 2022 SHIP A                                   | GS MORTGAGE SECURITIES TRUST GSMS 2022 SHIP A                 | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $44370.11     | 0.02%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2019-HRP1                                   | CONNECTICUT AVENUE SECURITIES CAS 2019 HRP1 M2 144A           | CUSIP: 20754PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83527 | PA      | $81637.29     | 0.04%             | 2039-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R08 1M1 144A                             | CONNECTICUT AVENUE SECURITIES CAS 2022 R08 1M1 144A           | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83546 | PA      | $83807.83     | 0.04%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York Inc.                                    | CONSOLIDATED EDISON CO OF NEW SR UNSECURED 12/51 3.2          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    120000 | PA      | $83013.57     | 0.04%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc.                                                       | CONSTELLATION BRANDS INC COMPANY GUAR 11/28 4.65              | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14506.22     | 0.01%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc.                                                       | CONSTELLATION BRANDS INC COMPANY GUAR 08/29 3.15              | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     47000 | PA      | $41188.73     | 0.02%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Continental Resources Inc.                                                      | CONTINENTAL RESOURCES INC/OK COMPANY GUAR 144A 01/31 5.75     | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55851.62     | 0.03%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc.                                                       | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/29 3.85         | CUSIP: 21871XAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $68310.57     | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc.                                                       | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/32 3.9          | CUSIP: 21871XAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $30567.86     | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc.                                                       | COREBRIDGE FINANCIAL INC JR SUBORDINA 144A 12/52 VAR          | CUSIP: 21871XAN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $443536.64    | 0.22%             | 2052-12-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc.                                                         | COX COMMUNICATIONS INC SR UNSECURED 144A 06/31 2.6            | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    170000 | PA      | $135380.28    | 0.07%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust 2021-3                                        | CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2021 3A A 144A           | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $238790.40    | 0.12%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 8 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 8 A1 144A            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249726 | PA      | $206246.95    | 0.10%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                                      | ANGLO AMERICAN CAPITAL PLC COMPANY GUAR 144A 09/30 2.625      | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $162536.99    | 0.08%             | 2030-09-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 08/41 FIXED 4                                              | GINNIE MAE GN 08/41 FIXED 4                                   | CUSIP: 3620AV7L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3577 | PA      | $3431.67      | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 12/28 FIXED 6.5                                            | GINNIE MAE GN 12/28 FIXED 6.5                                 | CUSIP: 36210GTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       946 | PA      | $964.79       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 08/32 FIXED 6                                              | GINNIE MAE GN 08/32 FIXED 6                                   | CUSIP: 36225BUH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6216 | PA      | $6397.89      | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2006-15                                                  | GSAA HOME EQUITY TRUST 2006-15 GSAA 2006 15 AF6               | CUSIP: 3622E8AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353916 | PA      | $99386.34     | 0.05%             | 2036-09-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust 2007-FM2                                                            | GSAMP TRUST 2007-FM2 GSAMP 2007 FM2 A2B                       | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186647 | PA      | $111980.98    | 0.05%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2007-1F                                                 | GSR MORTGAGE LOAN TRUST 2007-1 GSR 2007 1F 4A1                | CUSIP: 3622MPBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76309 | PA      | $21020.61     | 0.01%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 10/41 FIXED 4                                              | GINNIE MAE GN 10/41 FIXED 4                                   | CUSIP: 36230TGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5806 | PA      | $5571.01      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2006-AR1                                                | GSR MORTGAGE LOAN TRUST 2006-A GSR 2006 AR1 2A1               | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3123 | PA      | $2990.75      | 0.00%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6 GSAA 2005 7 AF4                                   | GSAA TRUST GSAA 2005 7 AF4                                    | CUSIP: 362341AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169533 | PA      | $162370.67    | 0.08%             | 2035-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2006-20                                                  | GSAA HOME EQUITY TRUST 2006-20 GSAA 2006 20 2A1A              | CUSIP: 362351AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192817 | PA      | $97863.85     | 0.05%             | 2046-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2006-10                                                  | GSAA HOME EQUITY TRUST 2006-10 GSAA 2006 10 AF3               | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138612 | PA      | $36268.77     | 0.02%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 02/35 FIXED 6.5                                            | GINNIE MAE GN 02/35 FIXED 6.5                                 | CUSIP: 36241KFR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3463 | PA      | $3558.40      | 0.00%             | 2035-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURIT SGCMS 2020 COVE A 144A                           | SG COMMERCIAL MORTGAGE SEC 03/37 2.632                        | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $593718.18    | 0.29%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR 2021 1 A1 144A                                | SG RESIDENTIAL MORTGAGE TRUST SGR 2021 1 A1 144A              | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364404 | PA      | $293050.83    | 0.14%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| SSandC Technologies Inc.                                                        | SSandC TECHNOLOGIES INC COMPANY GUAR 144A 09/27 5.5           | CUSIP: 78466CAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    262000 | PA      | $245335.78    | 0.12%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABL SDART 2022 4 B                                   | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 4 B                 | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $338630.53    | 0.17%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2020-4                                   | SANTANDER DRIVE AUTO RECEIVABL SDART 2020 4 D                 | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $71563.31     | 0.04%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABL SDART 2022 7 B                                   | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 7 B                 | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $307936.78    | 0.15%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABL SDART 2022 5 B                                   | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 5 B                 | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $106960.49    | 0.05%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABL SDART 2022 6 B                                   | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 6 B                 | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80000 | PA      | $77954.04     | 0.04%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE1                         | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2B              | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122261 | PA      | $42585.84     | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Service Corporation International                                               | SERVICE CORP INTERNATIONAL/US SR UNSECURED 06/29 5.125        | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    507000 | PA      | $475325.07    | 0.23%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SENEGAL GOVERNMENT INTERNATION SR UNSECURED REGS 03/28 4.75                     | SENEGAL GOVERNMENT INTERNATION SR UNSECURED REGS 03/28 4.75   | CUSIP: AR4938577<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    200000 | PA      | $184211.03    | 0.09%             | 2028-03-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | ROMANIAN GOVERNMENT INTERNATIO SR UNSECURED REGS 04/49 4.625  | CUSIP: AX8956937<br>LEI: N/A                  | Long             | DBT              | NUSS              | RO        |    317000 | PA      | $247082.32    | 0.12%             | 2049-04-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SAUDI GOVERNMENT INTERNATIONAL SR UNSECURED REGS 07/39 2                        | SAUDI GOVERNMENT INTERNATIONAL SR UNSECURED REGS 07/39 2      | CUSIP: AZ4612521<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |    300000 | PA      | $238991.70    | 0.12%             | 2039-07-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bond                                           | HUNGARY GOVERNMENT INTERNATION SR UNSECURED REGS 04/32 1.625  | CUSIP: BJ0850450<br>LEI: N/A                  | Long             | DBT              | NUSS              | HU        |    735000 | PA      | $564196.96    | 0.28%             | 2032-04-28      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA GOVERNMENT INT SR UNSECURED 144A 06/26 3.675                    | NORTH MACEDONIA GOVERNMENT INT SR UNSECURED 144A 06/26 3.675  | CUSIP: BJ7363895<br>LEI: N/A                  | Long             | DBT              | NUSS              | MK        |    265000 | PA      | $260837.91    | 0.13%             | 2026-06-03      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVERNMENT INTERNA SR UNSECURED REGS 01/32 4.875                    | IVORY COAST GOVERNMENT INTERNA SR UNSECURED REGS 01/32 4.875  | CUSIP: BM7280613<br>LEI: N/A                  | Long             | DBT              | NUSS              | CI        |    225000 | PA      | $190191.81    | 0.09%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2017-2 BCC 2017 2A AR2 144A                             | BAIN CAPITAL CREDIT CLO 2017-2 BCC 2017 2A AR2 144A           | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $632944.65    | 0.31%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Ball Corporation                                                                | BALL CORP COMPANY GUAR 11/23 4                                | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    570000 | PA      | $558667.85    | 0.27%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 07/30 VAR                   | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    320000 | PA      | $275226.69    | 0.14%             | 2030-07-23      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 07/31 VAR                   | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23025.17     | 0.01%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | ROMANIAN GOVERNMENT INTERNATIO UNSECURED 144A 12/40 2.625     | CUSIP: BM7280910<br>LEI: N/A                  | Long             | DBT              | NUSS              | RO        |    335000 | PA      | $199764.89    | 0.10%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bond                                         | INDONESIA GOVERNMENT INTERNATI SR UNSECURED 03/33 1.1         | CUSIP: BN3328919<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |    530000 | PA      | $412078.59    | 0.20%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 10/31 VAR                   | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61111.02     | 0.03%             | 2031-10-24      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 04/32 VAR                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    905000 | PA      | $724347.60    | 0.36%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                            | MEXICO GOVERNMENT INTERNATIONA SR UNSECURED 10/33 1.45        | CUSIP: BN5336100<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    600000 | PA      | $454283.78    | 0.22%             | 2033-10-25      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CHILE GOVERNMENT INTERNATIONAL SR UNSECURED 01/51 1.25                          | CHILE GOVERNMENT INTERNATIONAL SR UNSECURED 01/51 1.25        | CUSIP: BN6167926<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |    525000 | PA      | $302058.11    | 0.15%             | 2051-01-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 10/32 VAR                   | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86152.26     | 0.04%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 02/33 VAR                   | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    140000 | PA      | $112786.62    | 0.06%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | ROMANIAN GOVERNMENT INTERNATIO UNSECURED REGS 04/41 2.75      | CUSIP: BO9736261<br>LEI: N/A                  | Long             | DBT              | NUSS              | RO        |    485000 | PA      | $290787.12    | 0.14%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bond                                       | PHILIPPINE GOVERNMENT INTERNAT SR UNSECURED 04/33 1.2         | CUSIP: BP1537425<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    435000 | PA      | $357903.62    | 0.18%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                             | COMMONSPIRIT HEALTH SR SECURED 10/29 3.347                    | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39161.17     | 0.02%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc.                                                             | CONAGRA BRANDS INC SR UNSECURED 11/48 5.4                     | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27720.77     | 0.01%             | 2048-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 03/27 FIXED 2.66                           | CUSIP: 3138L84V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774077 | PA      | $721274.59    | 0.35%             | 2027-03-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 12/42 FIXED 2.5                            | CUSIP: 3138MQSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233842 | PA      | $203356.64    | 0.10%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bond                                       | PHILIPPINE GOVERNMENT INTERNAT SR UNSECURED 04/41 1.75        | CUSIP: BP1537458<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $146320.27    | 0.07%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BRAZIL NOTAS DO TESOURO NACION NOTES 01/31 10                                   | BRAZIL NOTAS DO TESOURO NACION NOTES 01/31 10                 | CUSIP: ZP2084801<br>LEI: N/A                  | Long             | DBT              | NUSS              | BR        |   5476000 | PA      | $906399.74    | 0.44%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 07/30 FIXED 2.5                            | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18876 | PA      | $17753.69     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 03/43 FIXED 2.5                            | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321768 | PA      | $279819.38    | 0.14%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 04/45 FIXED 2.5                            | CUSIP: 3138YD4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21175 | PA      | $18414.46     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP FNS 415 A3                          | CUSIP: 31395QFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111554 | PA      | $102331.74    | 0.05%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 06/46 FIXED 3.5                            | CUSIP: 3140EVJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905205 | PA      | $843389.59    | 0.41%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 09/31 FIXED 2.5                            | CUSIP: 3140FDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19036 | PA      | $17844.64     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 12/31 FIXED 2.5                            | CUSIP: 3140FLS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17975 | PA      | $16827.14     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 04/50 FIXED 2.5                            | CUSIP: 3140HFPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594750 | PA      | $507827.87    | 0.25%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 02/52 FIXED 2                              | CUSIP: 3140M34Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476147 | PA      | $388720.37    | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                             | CENTENE CORP SR UNSECURED 02/30 3.375                         | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4226.85      | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                             | CENTENE CORP SR UNSECURED 07/28 2.45                          | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84405.00     | 0.04%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital C | CHARTER COMMUNICATIONS OPT LLC SR SECURED 10/45 6.484         | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $225443.52    | 0.11%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital C | CHARTER COMMUNICATIONS OPT LLC SR SECURED 10/55 6.834         | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $36901.48     | 0.02%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital C | CHARTER COMMUNICATIONS OPT LLC SR SECURED 04/48 5.75          | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $36841.06     | 0.02%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital C | CHARTER COMMUNICATIONS OPT LLC SR SECURED 07/49 5.125         | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $124766.72    | 0.06%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital C | CHARTER COMMUNICATIONS OPT LLC SR SECURED 03/42 3.5           | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $26911.77     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2005-S3                                     | CHASE MORTGAGE FINANCE TRUST S CHASE 2005 S3 A10              | CUSIP: 16162WNL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94719 | PA      | $70041.22     | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                                                      | CHICAGO IL BRD OF EDU CHIEDU 12/29 FIXED 6.038                | CUSIP: 167505KG0<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |     30000 | PA      | $28122.96     | 0.01%             | 2029-12-01      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                                                      | CHICAGO BOARD OF EDUCATION CHIEDU 12/39 FIXED 6.138           | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    155000 | PA      | $132480.19    | 0.07%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                                                      | CHICAGO BOARD OF EDUCATION CHIEDU 11/29 FIXED 6.319           | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    185000 | PA      | $173773.13    | 0.09%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CHICAGO TRANSIT AUTHORITY SALE CHITRN 12/40 FIXED 3.912                         | CHICAGO TRANSIT AUTHORITY CHITRN 12/40 FIXED 3.912            | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     90000 | PA      | $75265.83     | 0.04%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-HY4                                        | CHL MORTGAGE PASS-THROUGH TRUS CWHL 2007 HY4 1A1              | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58225 | PA      | $50364.30     | 0.02%             | 2047-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC23                                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2014 GC23 XA              | CUSIP: 17322VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667131 | PA      | $18202.24     | 0.01%             | 2047-07-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC29 XA                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2015 GC29 XA              | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572382 | PA      | $29102.43     | 0.01%             | 2048-04-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C3 C                                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C3 C                 | CUSIP: 17325GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288000 | PA      | $242752.92    | 0.12%             | 2049-11-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 E A1 144A                              | CITIGROUP COMMERCIAL MORTGAGE 11/70 1                         | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186032 | PA      | $183076.88    | 0.09%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Clean Harbors Inc.                                                              | CLEAN HARBORS INC SR UNSECURED 144A 07/27 4.875               | CUSIP: 184496AN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | PA      | $587450.00    | 0.29%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Cleco Corporate Holdings LLC                                                    | CLECO CORPORATE HOLDINGS LLC SR SECURED 05/46 4.973           | CUSIP: 18551PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4214.80      | 0.00%             | 2046-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Cleco Corporate Holdings LLC                                                    | CLECO CORPORATE HOLDINGS LLC SR UNSECURED 09/29 3.375         | CUSIP: 18551PAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $119084.53    | 0.06%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                                          | COLOMBIA GOVERNMENT INTERNATIO SR UNSECURED 02/44 5.625       | CUSIP: 195325BR5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $146674.50    | 0.07%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                                          | COLOMBIA GOVERNMENT INTERNATIO SR UNSECURED 06/45 5           | CUSIP: 195325CU7<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $136061.18    | 0.07%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A                              | COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A            | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416354 | PA      | $321864.13    | 0.16%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                             | COMCAST CORP SR UNSECURED 11/39 3.25                          | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27266.28     | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2019 R03 1M2 144A                             | CONNECTICUT AVENUE SECURITIES CAS 2019 R03 1M2 144A           | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10658 | PA      | $10631.94     | 0.01%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE MBS 30YR TBA                                                         | GINNIE MAE MBS 30YR TBA                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400000 | PA      | $4961412.00   | 2.43%             | N/A             | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE MBS 30YR TBA                                                         | GINNIE MAE MBS 30YR TBA                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2600000 | PA      | $2461346.94   | 1.21%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE MBS 30YR TBA                                                         | GINNIE MAE MBS 30YR TBA                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4463478.44   | 2.19%             | N/A             | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INTERNATIONAL COR SR UNSECURED 03/27 2.9         | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100051.13    | 0.05%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-II LTD CIFC 2017 2A AR 144A                                   | CIFC FUNDING 2017-II LTD CIFC 2017 2A AR 144A                 | CUSIP: 12550YAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    894715 | PA      | $881970.45    | 0.43%             | 2030-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 Mortgage Trust                                                 | COMM 2014-CCRE16 MORTGAGE TRUS COMM 2014 CR16 A4              | CUSIP: 12591VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $467803.54    | 0.23%             | 2047-04-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COMM 2015-3BP MORTGAGE TRUST COMM 2015 3BP A 144A                               | COMM 2015-3BP MORTGAGE TRUST COMM 2015 3BP A 144A             | CUSIP: 12592TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $536057.34    | 0.26%             | 2035-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| COMM 2013-300P MORTGAGE TRUST COMM 2013 300P A1 144A                            | COMM 2013-300P MORTGAGE TRUST COMM 2013 300P A1 144A          | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $251391.37    | 0.12%             | 2030-08-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTG CSAIL 2015 C1 A4                                 | CSAIL 2015-C1 COMMERCIAL MORTG CSAIL 2015 C1 A4               | CUSIP: 126281AZ7<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $14348.76     | 0.01%             | 2050-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/43 3.625                    | CUSIP: 912810RC4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    680000 | PA      | $625121.88    | 0.31%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/43 3.75                     | CUSIP: 912810RD2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2908000 | PA      | $2725568.42   | 1.34%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/44 3.375                    | CUSIP: 912810RG5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1690000 | PA      | $1490170.70   | 0.73%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/44 3.125                    | CUSIP: 912810RH3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5535000 | PA      | $4676858.80   | 2.29%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/44 3                        | CUSIP: 912810RJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1958000 | PA      | $1615961.88   | 0.79%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 02/45 2.5                      | CUSIP: 912810RK6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1204000 | PA      | $906433.28    | 0.44%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/45 3                        | CUSIP: 912810RP5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3372000 | PA      | $2773733.42   | 1.36%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 02/46 2.5                      | CUSIP: 912810RQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    648000 | PA      | $484835.62    | 0.24%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/46 2.25                     | CUSIP: 912810RT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3655000 | PA      | $2586626.36   | 1.27%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 02/47 3                        | CUSIP: 912810RV2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2125000 | PA      | $1739428.72   | 0.85%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 02/48 3                        | CUSIP: 912810SA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2120000 | PA      | $1737654.69   | 0.85%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/48 3.125                    | CUSIP: 912810SC3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3205000 | PA      | $2693577.16   | 1.32%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/50 1.25                     | CUSIP: 912810SN9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4170000 | PA      | $2244144.13   | 1.10%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/40 1.125                    | CUSIP: 912810SQ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1996000 | PA      | $1239547.18   | 0.61%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | US TREASURY N/B 11/51 1.875                                   | CUSIP: 912810TB4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3165000 | PA      | $2004582.44   | 0.98%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY INFLATI 02/52 0.125                                      | UNITED STATES TREASURY INFLATI 02/52 0.125                    | CUSIP: 912810TE8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    339317 | PA      | $219472.15    | 0.11%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/52 3                        | CUSIP: 912810TJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2105000 | PA      | $1734322.66   | 0.85%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/42 3.375                    | CUSIP: 912810TK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    800000 | PA      | $715000.00    | 0.35%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/52 4                        | CUSIP: 912810TL2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1600000 | PA      | $1602250.00   | 0.79%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Venture 42 CLO Limited                                                          | VENTURE CDO LTD 04/34 1                                       | CUSIP: 923260AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    655000 | PA      | $633180.64    | 0.31%             | 2034-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FORESIGHT ENERGY LLC EQUITY                                                     | FORESIGHT ENERGY LLC EQUITY                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       895 | NS      | $9396.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust  | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1               | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18356 | PA      | $11595.05     | 0.01%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO X LTD WELF 2019 XA A1R 144A                                       | WELLFLEET CLO X LTD WELF 2019 XA A1R 144A                     | CUSIP: 94949WAM8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $506561.12    | 0.25%             | 2032-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 04/26 3                       | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65471.74     | 0.03%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 10/26 3                       | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32347.55     | 0.02%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2014 LC16 A5                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2014 LC16 A5              | CUSIP: 94988XAU0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $300977.39    | 0.15%             | 2050-08-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS1                                 | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS1 XA              | CUSIP: 94989HAZ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |   1447729 | PA      | $25689.52     | 0.01%             | 2048-05-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS1                                 | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS1 D               | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $34165.72     | 0.02%             | 2048-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS3 XA                                | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 NXS3 XA              | CUSIP: 94989VAG4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   2545184 | PA      | $49919.96     | 0.02%             | 2057-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 04/51 VAR                     | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70470.06     | 0.03%             | 2051-04-04      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO + COMPANY 03/33 1                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    275000 | PA      | $231659.39    | 0.11%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 04/26 VAR                     | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291572.17    | 0.14%             | 2026-04-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 07/28 VAR                     | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    180000 | PA      | $175805.33    | 0.09%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo and Company                                                         | WELLS FARGO and CO SR UNSECURED 07/33 VAR                     | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    615000 | PA      | $583962.87    | 0.29%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding LLC                                                             | WENDY'S FUNDING LLC WEN 2018 1A A2II 144A                     | CUSIP: 95058XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223250 | PA      | $201091.99    | 0.10%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding LLC                                                             | WENDY'S FUNDING LLC WEN 2021 1A A2I 144A                      | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576225 | PA      | $465200.27    | 0.23%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2019 3A D 144A                             | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2019 3A D 144A           | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277962 | PA      | $276147.85    | 0.14%             | 2024-11-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/42 4                        | CUSIP: 912810TM0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    495000 | PA      | $484635.94    | 0.24%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/25 2.875                    | CUSIP: 9128284R8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3985000 | PA      | $3852529.87   | 1.89%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 01/52 FIXED 2                              | CUSIP: 3140MDQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98219 | PA      | $80184.43     | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 02/43 FIXED 2.5                            | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69755 | PA      | $60661.44     | 0.03%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 01/48 FIXED 3.5                            | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673412 | PA      | $1549723.23   | 0.76%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A                              | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A            | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98202 | PA      | $75532.43     | 0.04%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 1 A1 144A                              | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 1 A1 144A            | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282933 | PA      | $236695.30    | 0.12%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FirstCash Inc.                                                                  | FIRSTCASH INC COMPANY GUAR 144A 01/30 5.625                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    220000 | PA      | $195814.31    | 0.10%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF12                                    | FIRST FRANKLIN MORTGAGE LOAN T FFML 2006 FF12 A5              | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191176 | PA      | $173700.05    | 0.09%             | 2036-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FirstCash Inc.                                                                  | FIRSTCASH INC COMPANY GUAR 144A 09/28 4.625                   | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    250000 | PA      | $219490.19    | 0.11%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST FKH 2022 SFR2 A 144A                             | FIRSTKEY HOMES 2022-SFR2 TRUST FKH 2022 SFR2 A 144A           | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    571766 | PA      | $539871.62    | 0.26%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST FKH 2022 SFR1 A 144A                             | FIRSTKEY HOMES 2022-SFR1 TRUST FKH 2022 SFR1 A 144A           | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139213 | PA      | $130558.84    | 0.06%             | 2039-05-17      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                                                | DOMINO'S PIZZA MASTER ISSUER L DPABS 2021 1A A2I 144A         | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265950 | PA      | $221185.81    | 0.11%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corporation                                                         | DUKE ENERGY CORP SR UNSECURED 06/31 2.55                      | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    385000 | PA      | $313701.99    | 0.15%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corporation                                                         | DUKE ENERGY CORP SR UNSECURED 08/32 4.5                       | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $168606.15    | 0.08%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                                         | DUKE ENERGY INDIANA LLC 1ST MORTGAGE 10/49 3.25               | CUSIP: 26443TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $72853.23     | 0.04%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 8 A1 144A                             | VERUS SECURITIZATION TRUST 202 VERUS 2021 8 A1 144A           | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271699 | PA      | $228823.76    | 0.11%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2022 1 A1 144A                             | VERUS SECURITIZATION TRUST 202 VERUS 2022 1 A1 144A           | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381922 | PA      | $331933.09    | 0.16%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | VIACOM INC SR UNSECURED 03/43 4.375                           | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    190000 | PA      | $130835.08    | 0.06%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | PARAMOUNT GLOBAL SR UNSECURED 01/31 4.95                      | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    310000 | PA      | $275502.97    | 0.14%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | PARAMOUNT GLOBAL SR UNSECURED 05/32 4.2                       | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    125000 | PA      | $102308.67    | 0.05%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VICI Properties L.P.                                                            | VICI PROPERTIES LP SR UNSECURED 02/30 4.95                    | CUSIP: 925650AC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    287000 | PA      | $273200.28    | 0.13%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR AFFRM 2020 Z2 A 144A                             | AFFIRM ASSET SECURITIZATION TR AFFRM 2020 Z2 A 144A           | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59653 | PA      | $58033.48     | 0.03%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                           | ALABAMA POWER CO SR UNSECURED 08/44 4.15                      | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    105000 | PA      | $86888.98     | 0.04%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                           | ALABAMA POWER CO SR UNSECURED 10/49 3.45                      | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    120000 | PA      | $86444.48     | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corporation                                                       | ALCON FINANCE CORP COMPANY GUAR 144A 09/26 2.75               | CUSIP: 01400EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $366021.90    | 0.18%             | 2026-09-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corporation                                                       | ALCON FINANCE CORP COMPANY GUAR 144A 12/32 5.375              | CUSIP: 01400EAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $201015.72    | 0.10%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 15YR TBA                                          | FANNIE MAE OR FREDDIE MAC MBS 15YR TBA                        | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2137800.24   | 1.05%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                                          | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                        | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $979462.56    | 0.48%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL MBS 30YR TBA                                                    | FANNIE MAE POOL MBS 30YR TBA                                  | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10400000 | PA      | $8817250.00   | 4.33%             | N/A             | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL MBS 30YR TBA                                                    | FANNIE MAE POOL MBS 30YR TBA                                  | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $2986953.04   | 1.47%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL MBS 30YR TBA                                                    | FANNIE MAE POOL MBS 30YR TBA                                  | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $3473373.15   | 1.70%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                                          | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                        | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15100000 | PA      | $14554983.62  | 7.14%             | N/A             | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc.                                                                 | AMAZON.COM INC SR UNSECURED 08/37 3.875                       | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53155.19     | 0.03%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Hess Corporation                                                                | HESS CORP SR UNSECURED 08/31 7.3                              | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     95000 | PA      | $103141.48    | 0.05%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Hess Corporation                                                                | HESS CORP SR UNSECURED 03/33 7.125                            | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     38000 | PA      | $40928.06     | 0.02%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE REC ACAR 2022 3 B 144A                               | AMERICAN CREDIT ACCEPTANCE REC ACAR 2022 3 B 144A             | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $24506.93     | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 2A11                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 2A11                | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32557 | PA      | $22517.38     | 0.01%             | 2046-10-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS AHMA 2007 2 A1                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 2 A1                  | CUSIP: 026930AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12493 | PA      | $10841.33     | 0.01%             | 2047-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                      | AMERICAN TOWER CORP SR UNSECURED 04/31 2.7                    | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24418.60     | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc.                                                 | BP CAPITAL MARKETS AMERICA INC COMPANY GUAR 06/51 2.939       | CUSIP: 10373QBP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $79008.32     | 0.04%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc.                                                 | BP CAPITAL MARKETS AMERICA INC COMPANY GUAR 02/61 3.379       | CUSIP: 10373QBQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $13592.87     | 0.01%             | 2061-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM2 A1 144A                          | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM2 A1 144A        | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100709 | PA      | $94305.24     | 0.05%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A                          | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A        | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101272 | PA      | $83942.02     | 0.04%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                   | BROADCOM INC SR UNSECURED 144A 04/33 3.419                    | CUSIP: 11135FBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $200426.93    | 0.10%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                   | BROADCOM INC SR UNSECURED 144A 04/34 3.469                    | CUSIP: 11135FBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     46000 | PA      | $36695.70     | 0.02%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                   | BROADCOM INC SR UNSECURED 144A 04/29 4                        | CUSIP: 11135FBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $222568.37    | 0.11%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                             | COMCAST CORP COMPANY GUAR 04/40 3.75                          | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    215000 | PA      | $177315.83    | 0.09%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Service Corporation International                                               | SERVICE CORP INTERNATIONAL/US SR UNSECURED 08/30 3.375        | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    335000 | PA      | $272323.80    | 0.13%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                | SHELL INTERNATIONAL FINANCE BV COMPANY GUAR 04/50 3.25        | CUSIP: 822582CH3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     75000 | PA      | $53796.09     | 0.03%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                | SHELL INTERNATIONAL FINANCE BV COMPANY GUAR 11/41 2.875       | CUSIP: 822582CK6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     55000 | PA      | $39893.11     | 0.02%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                | SHELL INTERNATIONAL FINANCE BV COMPANY GUAR 11/51 3           | CUSIP: 822582CL4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     70000 | PA      | $47398.23     | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc.                                                            | SIRIUS XM RADIO INC COMPANY GUAR 144A 07/30 4.125             | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33008.40     | 0.02%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA SUBORDINATED 144A 06/33 VAR               | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    565000 | PA      | $528435.77    | 0.26%             | 2033-06-15      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2007-OPT2                                             | SOUNDVIEW HOME LOAN TRUST 2007 SVHE 2007 OPT2 2A3             | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24295 | PA      | $21806.82     | 0.01%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Gen Digital Inc.                                                                | SYMANTEC CORP SR UNSECURED 144A 04/25 5                       | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    530000 | PA      | $515517.63    | 0.25%             | 2025-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO III-2 LTD TICP 2018 3R A 144A                                          | TICP CLO III-2 LTD TICP 2018 3R A 144A                        | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120772 | PA      | $120360.11    | 0.06%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc.                                                               | T-MOBILE USA INC SR SECURED 04/30 3.875                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40761.66     | 0.02%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK22 BANK 2019 BN22 XA                                               | BANK 11/62 1                                                  | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2429723 | PA      | $77782.22     | 0.04%             | 2062-11-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK28 BANK 2020 BN28 XA                                               | BANK 03/63 1                                                  | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2547879 | PA      | $252077.95    | 0.12%             | 2063-03-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| VICI Properties L.P.                                                            | VICI PROPERTIES LP SR UNSECURED 05/32 5.125                   | CUSIP: 925650AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $55557.00     | 0.03%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LP                                                        | VIPER ENERGY PARTNERS LP COMPANY GUAR 144A 11/27 5.375        | CUSIP: 92763MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    257000 | PA      | $244024.19    | 0.12%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC VOLT 2021 NPL3 A1 144A                                            | VOLT XCIV LLC VOLT 2021 NPL3 A1 144A                          | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277500 | PA      | $250863.46    | 0.12%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRA VOLT 2021 NP11 A1 144A                           | VERICREST OPPORTUNITY LOAN TRA VOLT 2021 NP11 A1 144A         | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460544 | PA      | $397371.97    | 0.19%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VOLT CIII LLC VOLT 2021 CF1 A1 144A                                             | VOLT CIII LLC VOLT 2021 CF1 A1 144A                           | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293939 | PA      | $263508.42    | 0.13%             | 2051-08-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2015-1 Ltd.                                                            | VOYA CLO 2015-1 LTD VOYA 2015 1A A1R 144A                     | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    521941 | PA      | $516627.86    | 0.25%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                   | WAMU MORTGAGE PASS-THROUGH CER WAMU 2007 HY6 1A1              | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11943 | PA      | $10308.81     | 0.01%             | 2037-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                           | WMG ACQUISITION CORP SR SECURED 144A 07/30 3.875              | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    450000 | PA      | $387607.25    | 0.19%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C19                                        | WFRBS COMMERCIAL MORTGAGE TRUS WFRBS 2014 C19 A5              | CUSIP: 92938VAQ8<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |    304634 | PA      | $297839.66    | 0.15%             | 2047-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-27                                                  | ALTERNATIVE LOAN TRUST 2005-27 CWALT 2005 27 2A1              | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114530 | PA      | $93876.15     | 0.05%             | 2035-08-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-72                                                  | ALTERNATIVE LOAN TRUST 2005-72 CWALT 2005 72 A1               | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14613 | PA      | $12788.07     | 0.01%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56 CWALT 2005 56 5A1                                | ALTERNATIVE LOAN TRUST 2005-56 CWALT 2005 56 5A1              | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55919 | PA      | $44064.01     | 0.02%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-9T1                                                 | ALTERNATIVE LOAN TRUST 2006-9T CWALT 2006 9T1 A1              | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63795 | PA      | $28273.41     | 0.01%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2005-2                                          | CHL MORTGAGE PASS-THROUGH TRUS CWHL 2005 2 2A3                | CUSIP: 12669GPT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24384 | PA      | $21175.12     | 0.01%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                               | CAPITAL ONE FINANCIAL CORP SR UNSECURED 07/30 VAR             | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    390000 | PA      | $371415.21    | 0.18%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P2 A3                                 | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P2 A3               | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $452795.05    | 0.22%             | 2027-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC COMPANY GUAR 07/27 6.165             | CUSIP: 15089QAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $187401.98    | 0.09%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                             | CENTENE CORP SR UNSECURED 12/27 4.25                          | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46893.16     | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Centene Corporation                                                             | CENTENE CORP SR UNSECURED 12/29 4.625                         | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    585000 | PA      | $534593.95    | 0.26%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust 2006-AR3                                       | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1              | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34001 | PA      | $28741.20     | 0.01%             | 2036-12-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                               | INTEL CORP SR UNSECURED 02/60 3.1                             | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    110000 | PA      | $67797.06     | 0.03%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                               | INTEL CORP SR UNSECURED 08/29 4                               | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    210000 | PA      | $199755.16    | 0.10%             | 2029-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                               | INTEL CORP SR UNSECURED 08/52 4.9                             | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    185000 | PA      | $163661.28    | 0.08%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc.                                                  | INTERCONTINENTAL EXCHANGE INC SR UNSECURED 06/29 4.35         | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53176.20     | 0.03%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc.                                                  | INTERCONTINENTAL EXCHANGE INC SR UNSECURED 03/33 4.6          | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23903.58     | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc.                                                  | INTERCONTINENTAL EXCHANGE INC SR UNSECURED 06/52 4.95         | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18563.82     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| International Airport Finance SA                                                | INTERNATIONAL AIRPORT FINANCE SR SECURED 144A 03/33 12        | CUSIP: 45900TAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |    322730 | PA      | $317364.87    | 0.16%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2006-A3                                              | JP MORGAN MORTGAGE TRUST 2006- JPMMT 2006 A3 3A2              | CUSIP: 46628KAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6902 | PA      | $5561.95      | 0.00%             | 2036-05-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C19                             | JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C19 A4              | CUSIP: 46641WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $385793.81    | 0.19%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 01/29 VAR                  | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    285000 | PA      | $258646.35    | 0.13%             | 2029-01-23      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE CO 04/29 1                                     | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    315000 | PA      | $291417.83    | 0.14%             | 2029-04-23      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE + CO 01/27 1                                   | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    150000 | PA      | $142987.01    | 0.07%             | 2027-01-29      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 05/30 VAR                  | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    105000 | PA      | $94172.37     | 0.05%             | 2030-05-06      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 11/32 VAR                  | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    205000 | PA      | $162038.35    | 0.08%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 04/28 VAR                  | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    375000 | PA      | $358120.07    | 0.18%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 04/33 VAR                  | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41659.34     | 0.02%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase and Co.                                                          | JPMORGAN CHASE and CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    265000 | PA      | $258317.60    | 0.13%             | 2028-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A                          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A        | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $144507.26    | 0.07%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power and Light Company                                          | JERSEY CENTRAL POWER and LIGHT C SR UNSECURED 144A 03/32 2.75 | CUSIP: 476556DD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $100941.95    | 0.05%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals                                                     | KAISER FOUNDATION HOSPITALS UNSECURED 06/41 2.81              | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     45000 | PA      | $32605.52     | 0.02%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals                                                     | KAISER FOUNDATION HOSPITALS UNSECURED 06/51 3.002             | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    135000 | PA      | $91941.40     | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc.                                                           | KEURIG DR PEPPER INC COMPANY GUAR 04/29 3.95                  | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    215000 | PA      | $199989.46    | 0.10%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCM XX LP LCM 20A AR 144A                                                       | LCM XX LP LCM 20A AR 144A                                     | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    139104 | PA      | $138027.82    | 0.07%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LT LSTRZ 2019 3 A1 144A                             | LSTAR SECURITIES INVESTMENT LT LSTRZ 2019 3 A1 144A           | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119987 | PA      | $119184.13    | 0.06%             | 2024-04-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 20 LMAT 2019 GS7 A1 144A                            | LEGACY MORTGAGE ASSET TRUST 20 LMAT 2019 GS7 A1 144A          | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378696 | PA      | $378021.80    | 0.19%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 20 LMAT 2021 GS3 A1 144A                            | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197453 | PA      | $178476.31    | 0.09%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc.                                                         | MARVELL TECHNOLOGY INC COMPANY GUAR 04/28 2.45                | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $122733.97    | 0.06%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc.                                                         | MARVELL TECHNOLOGY INC COMPANY GUAR 04/31 2.95                | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $76412.17     | 0.04%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 02/32 VAR                         | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    270000 | PA      | $202921.29    | 0.10%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                           | TARGA RESOURCES CORP COMPANY GUAR 02/33 4.2                   | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    120000 | PA      | $103243.61    | 0.05%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                           | TARGA RESOURCES CORP SR UNSECURED 07/52 6.25                  | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103812.57    | 0.05%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities Inc.                                                | TAYLOR MORRISON COMMUNITIES IN COMPANY GUAR 144A 01/28 5.75   | CUSIP: 87724RAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    302000 | PA      | $282778.51    | 0.14%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities Inc.                                                | TAYLOR MORRISON COMMUNITIES IN SR UNSECURED 144A 08/30 5.125  | CUSIP: 87724RAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $34649.37     | 0.02%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC SR SECURED 11/40 5.875                  | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $56629.74     | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC SR SECURED 09/42 4.5                    | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    455000 | PA      | $333107.57    | 0.16%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2021-1 LT TRK 2021 1 A1 144A                               | TOORAK MORTGAGE CORP 2021-1 LT TRK 2021 1 A1 144A             | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $312078.89    | 0.15%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 3 A1 144A                              | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 3 A1 144A            | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70901 | PA      | $69078.46     | 0.03%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 5 A1 144A                              | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 5 A1 144A            | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89005 | PA      | $88081.55     | 0.04%             | 2057-02-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 1 A1 144A                              | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 1 A1 144A            | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90116 | PA      | $88600.48     | 0.04%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 2 A1 144A                              | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 2 A1 144A            | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22478 | PA      | $22187.20     | 0.01%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 4 A1 144A                              | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 4 A1 144A            | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174676 | PA      | $165668.98    | 0.08%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021 TPMT 2021 R1 A1 144A                             | TOWD POINT MORTGAGE TRUST 2021 TPMT 2021 R1 A1 144A           | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612812 | PA      | $489258.82    | 0.24%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Company LLC                                      | TRANSCONTINENTAL GAS PIPE LINE SR UNSECURED 05/30 3.25        | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $52067.62     | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TRIANGLE RE 2021-2 LTD TMIR 2021 2 M1A 144A                                     | TRIANGLE RE 2021-2 LTD TMIR 2021 2 M1A 144A                   | CUSIP: 89600GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      3362 | PA      | $3361.56      | 0.00%             | 2033-10-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2022-SFR2 T TCN 2022 SFR2 A 144A                             | TRICON RESIDENTIAL 07/40 4.849                                | CUSIP: 89616TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374496 | PA      | $352090.77    | 0.17%             | 2040-07-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Tullow Oil PLC                                                                  | TULLOW OIL PLC COMPANY GUAR 144A 03/25 7                      | CUSIP: 899415AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    200000 | PA      | $120703.44    | 0.06%             | 2025-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG SR UNSECURED 144A 05/28 4.751                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $191395.16    | 0.09%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| United Rentals (North America) Inc.                                             | UNITED RENTALS NORTH AMERICA I COMPANY GUAR 05/27 5.5         | CUSIP: 911365BF0<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31590.40     | 0.02%             | 2027-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Rentals (North America) Inc.                                             | UNITED RENTALS NORTH AMERICA I COMPANY GUAR 07/30 4           | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     35000 | PA      | $29917.88     | 0.01%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 11/39 4.375                    | CUSIP: 912810QD3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1170000 | PA      | $1219953.51   | 0.60%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                            | MEXICO GOVERNMENT INTERNATIONA SR UNSECURED 01/30 1.125       | CUSIP: ZP4537285<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $174160.43    | 0.09%             | 2030-01-17      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Kernel Holding S.A.                                                             | KERNEL HOLDING SA SR UNSECURED REGS 10/24 6.5                 | CUSIP: ZQ0628797<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | UA        |    200000 | PA      | $87614.32     | 0.04%             | 2024-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ANGOLAN GOVERNMENT INTERNATION SR UNSECURED REGS 11/29 8                        | ANGOLAN GOVERNMENT INTERNATION SR UNSECURED REGS 11/29 8      | CUSIP: ZQ6807692<br>LEI: N/A                  | Long             | DBT              | NUSS              | AO        |    200000 | PA      | $175280.15    | 0.09%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Metinvest B.V.                                                                  | METINVEST BV COMPANY GUAR 144A 06/25 5.625                    | CUSIP: ZR8877386<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    195000 | PA      | $111799.89    | 0.05%             | 2025-06-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR                   | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    320000 | PA      | $306023.34    | 0.15%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                   | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $185565.53    | 0.09%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                     | BANK OF AMERICA CORP SR UNSECURED 07/33 VAR                   | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104433.11    | 0.05%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                                       | BANK OF IRELAND GROUP PLC SR UNSECURED 144A 09/26 VAR         | CUSIP: 06279JAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    345000 | PA      | $342234.23    | 0.17%             | 2026-09-16      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK18 BANK 2019 BN18 XA                                               | BANK 2019-BNK18 BANK 2019 BN18 XA                             | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1407116 | PA      | $60410.58     | 0.03%             | 2062-05-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20 BANK 2019 BN20 XA                                               | BANK 2019-BNK20 BANK 2019 BN20 XA                             | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224467 | PA      | $92325.16     | 0.05%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK24 BANK 2019 BN24 XA                                               | BANK 2019-BNK24 BANK 2019 BN24 XA                             | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178177 | PA      | $41264.01     | 0.02%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 Mortgage Trust                                                 | COMM 2014-CCRE17 MORTGAGE TRUS COMM 2014 CR17 A5              | CUSIP: 12631DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $380416.92    | 0.19%             | 2047-05-10      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 Commercial Mortgage Trust                                         | CSAIL 2015-C2 COMMERCIAL MORTG CSAIL 2015 C2 XA               | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   4614246 | PA      | $58004.77     | 0.03%             | 2057-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COMMERCIAL MORTG CSAIL 2016 C6 XA                                 | CSAIL 2016-C6 COMMERCIAL MORTG CSAIL 2016 C6 XA               | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   1042478 | PA      | $48912.22     | 0.02%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM1 CSMC 2022 NQM1 A1 144A                                           | CSMC 2022-NQM1 CSMC 2022 NQM1 A1 144A                         | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612649 | PA      | $525620.80    | 0.26%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| CSMC 2017-FHA1 TRUST CSMC 2017 FHA1 A1 144A                                     | CSMC 2017-FHA1 TRUST CSMC 2017 FHA1 A1 144A                   | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164349 | PA      | $145927.48    | 0.07%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES EART 2022 6A B                                    | EXETER AUTOMOBILE RECEIVABLES EART 2022 6A B                  | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $75088.94     | 0.04%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL6 LLC PRET 2021 NPL6 A1 144A                                       | PRET 2021-NPL6 LLC PRET 2021 NPL6 A1 144A                     | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211600 | PA      | $195489.00    | 0.10%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL1 A1 144A                           | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL1 A1 144A         | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546405 | PA      | $487937.91    | 0.24%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                | PACIFIC GAS AND ELECTRIC CO 1ST MORTGAGE 02/31 2.5            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    430000 | PA      | $333631.18    | 0.16%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                | PACIFIC GAS AND ELECTRIC CO 1ST MORTGAGE 07/50 4.95           | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    363000 | PA      | $281267.14    | 0.14%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                | PACIFIC GAS AND ELECTRIC CO 1ST MORTGAGE 03/32 4.4            | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34912.54     | 0.02%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                | PACIFIC GAS AND ELECTRIC CO 1ST MORTGAGE 03/52 5.25           | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     62000 | PA      | $50614.52     | 0.02%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                | PACIFIC GAS AND ELECTRIC CO 1ST MORTGAGE 06/32 5.9            | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190279.04    | 0.09%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bond                                            | PANAMA GOVERNMENT INTERNATIONA SR UNSECURED 07/60 3.87        | CUSIP: 698299BL7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    585000 | PA      | $376818.93    | 0.18%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SOLD EUR/BOUGHT USD                                                             | SOLD EUR/BOUGHT USD                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | DE        |         1 | NC      | $-82091.37    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLD BRL/BOUGHT USD                                                             | SOLD BRL/BOUGHT USD                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | BR        |         1 | NC      | $-9893.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                               | ENTERPRISE PRODUCTS OPERATING COMPANY GUAR 02/48 4.25         | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12036.20     | 0.01%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                                     | EQUINOR ASA COMPANY GUAR 04/40 3.625                          | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    125000 | PA      | $102736.85    | 0.05%             | 2040-04-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                                     | EQUINOR ASA COMPANY GUAR 04/50 3.7                            | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     15000 | PA      | $11829.29     | 0.01%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                         | EQUITABLE FINANCIAL LIFE GLOBA SECURED 144A 03/28 1.8         | CUSIP: 29449WAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $316089.40    | 0.16%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Evergy Inc.                                                                     | EVERGY INC SR UNSECURED 09/24 2.45                            | CUSIP: 30034WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $14240.47     | 0.01%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Evergy Inc.                                                                     | EVERGY INC SR UNSECURED 09/29 2.9                             | CUSIP: 30034WAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $151119.29    | 0.07%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES EART 2022 4A B                                    | EXETER AUTOMOBILE RECEIVABLES EART 2022 4A B                  | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $171704.19    | 0.08%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2019-4                                      | EXETER AUTOMOBILE RECEIVABLES EART 2019 4A D 144A             | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460772 | PA      | $453038.33    | 0.22%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2020-1                                      | EXETER AUTOMOBILE RECEIVABLES EART 2020 1A D 144A             | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168618 | PA      | $165312.78    | 0.08%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| STAR 2021-1 TRUST STAR 2021 1 A1 144A                                           | STAR 2021-1 TRUST STAR 2021 1 A1 144A                         | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232242 | PA      | $209786.74    | 0.10%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A                               | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A             | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80673 | PA      | $74464.20     | 0.04%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 A1 144A                               | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 A1 144A             | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397401 | PA      | $329251.58    | 0.16%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics Inc.                                                             | STEEL DYNAMICS INC SR UNSECURED 04/30 3.45                    | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30774.74     | 0.02%             | 2030-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics Inc.                                                             | STEEL DYNAMICS INC SR UNSECURED 10/50 3.25                    | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6483.28      | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SUMMIT ISSUER LLC FIBER 2020 1A A2 144A                                         | SUMMIT ISSUER LLC FIBER 2020 1A A2 144A                       | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $135699.66    | 0.07%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH UNSECURED 08/50 3.361                           | CUSIP: 86944BAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $60998.89     | 0.03%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                                           | TACO BELL FUNDING LLC BELL 2021 1A A2II 144A                  | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885060 | PA      | $711028.88    | 0.35%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / COMPANY GUAR 02/31 4.875        | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18059.00     | 0.01%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT INTERNATION SR UNSECURED 144A 07/32 5                        | BERMUDA GOVERNMENT INTERNATION SR UNSECURED 144A 07/32 5      | CUSIP: 085209AJ3<br>LEI: N/A                  | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $198630.69    | 0.10%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Black Knight InfoServ LLC                                                       | BLACK KNIGHT INFOSERV LLC COMPANY GUAR 144A 09/28 3.625       | CUSIP: 092174AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    699000 | PA      | $606382.50    | 0.30%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXIV LTD BLUEM 2019 24A AR 144A                                | BLUEMOUNTAIN CLO LTD 04/34 1                                  | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $402568.26    | 0.20%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                              | BOEING CO/THE SR UNSECURED 05/27 5.04                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108787.53    | 0.05%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                              | BOEING CO/THE SR UNSECURED 05/30 5.15                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131711.30    | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc.                                                        | BOOZ ALLEN HAMILTON INC COMPANY GUAR 144A 09/28 3.875         | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    440000 | PA      | $389823.56    | 0.19%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc.                                                 | BP CAPITAL MARKETS AMERICA INC COMPANY GUAR 02/50 3           | CUSIP: 10373QBG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $13339.40     | 0.01%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc.                                                 | BP CAPITAL MARKETS AMERICA INC COMPANY GUAR 04/30 3.633       | CUSIP: 10373QBL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32120.93     | 0.02%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CSL Finance Plc                                                                 | CSL UK HOLDINGS LTD COMPANY GUAR 144A 04/32 4.25              | CUSIP: 12661PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     95000 | PA      | $89454.03     | 0.04%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corporation                                                          | CVS HEALTH CORP SR UNSECURED 07/45 5.125                      | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45570.24     | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Company                                                          | CONOCOPHILLIPS CO COMPANY GUAR 03/52 3.8                      | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3930.71      | 0.00%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust 2019-4                                             | DRIVE AUTO RECEIVABLES TRUST 2 DRIVE 2019 4 D                 | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221353 | PA      | $217999.83    | 0.11%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                       | DUKE ENERGY CAROLINAS LLC 1ST MORTGAGE 04/51 3.45             | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3649.54      | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                        | DUKE ENERGY PROGRESS LLC 1ST MORTGAGE 10/46 3.7               | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    125000 | PA      | $94618.28     | 0.05%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                        | DUKE ENERGY PROGRESS LLC 1ST MORTGAGE 04/52 4                 | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     65000 | PA      | $51993.77     | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                                         | DUKE ENERGY INDIANA LLC 1ST MORTGAGE 04/50 2.75               | CUSIP: 26443TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $50223.88     | 0.02%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                 | EQT CORP SR UNSECURED 04/28 5.7                               | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19892.53     | 0.01%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                  | EPR PROPERTIES COMPANY GUAR 04/28 4.95                        | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    190000 | PA      | $162103.43    | 0.08%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQM Midstream Partners LP                                                       | EQM MIDSTREAM PARTNERS LP SR UNSECURED 144A 07/27 6.5         | CUSIP: 26885BAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $14336.25     | 0.01%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                  | ECOPETROL SA SR UNSECURED 11/31 4.625                         | CUSIP: 279158AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CO        |    210000 | PA      | $160406.37    | 0.08%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Edison International                                                            | EDISON INTERNATIONAL SR UNSECURED 11/29 6.95                  | CUSIP: 281020AW7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $57435.47     | 0.03%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                               | HSBC HOLDINGS PLC SR UNSECURED 08/29 VAR                      | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $161436.21    | 0.08%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TRI PARTY REPO TRI PARTY REPO                                          | DEUTSCHE TRI PARTY REPO TRI PARTY REPO                        | CUSIP: 253999007<br>LEI: N/A                  | Long             | RA               | CORP              | US        |   7100000 | PA      | $7100000.00   | 3.48%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTURY PLAZA TOWERS 2019-CPT CPTS 2019 CPT A 144A                              | CENTURY PLAZA TOWERS 2019-CPT CPTS 2019 CPT A 144A            | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $274975.73    | 0.13%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST COMM 2022 HC A 144A                                 | COMM 2022-HC MORTGAGE TRUST COMM 2022 HC A 144A               | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85786.33     | 0.04%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST COMM 2022 HC D 144A                                 | COMM 2022-HC MORTGAGE TRUST COMM 2022 HC D 144A               | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $81562.91     | 0.04%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| B.A.T. International Finance p.l.c.                                             | BAT INTERNATIONAL FINANCE PLC COMPANY GUAR 03/28 4.448        | CUSIP: 05530QAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    280000 | PA      | $259325.15    | 0.13%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BBCMS 2017-DELC MORTGAGE TRUST BBCMS 2017 DELC A 144A                           | BBCMS 2017-DELC MORTGAGE TRUST BBCMS 2017 DELC A 144A         | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949000 | PA      | $932248.44    | 0.46%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 202 BINOM 2021 INV1 A1 144A                          | BINOM SECURITIZATION TRUST 202 BINOM 2021 INV1 A1 144A        | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170187 | PA      | $149173.06    | 0.07%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                                           | CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                         | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300243 | PA      | $248630.47    | 0.12%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL4 TRUST CSMC 2021 RPL4 A1 144A                                     | CSMC 2021-RPL4 TRUST CSMC 2021 RPL4 A1 144A                   | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150639 | PA      | $137626.42    | 0.07%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C16 BBCMS 2022 C16 A5                                 | BBCMS MORTGAGE TRUST 2022-C16 BBCMS 2022 C16 A5               | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $115447.03    | 0.06%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2019 XL A 144A                                | BX COMMERCIAL MORTGAGE TRUST 2 BX 2019 XL A 144A              | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496755 | PA      | $490630.59    | 0.24%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CVS Health Corporation                                                          | CVS HEALTH CORP SR UNSECURED 04/40 4.125                      | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     85000 | PA      | $70723.47     | 0.03%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-7CB                                                 | ALTERNATIVE LOAN TRUST 2005-7C CWALT 2005 7CB 2A8             | CUSIP: 12667F4T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94347 | PA      | $71909.65     | 0.04%             | 2038-03-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2017 84 KA                                                | FANNIE MAE REMICS FNR 2017 84 KA                              | CUSIP: 3136AYMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76858 | PA      | $74284.91     | 0.04%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2018 23 LA                                                | FANNIE MAE REMICS FNR 2018 23 LA                              | CUSIP: 3136B1WE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126402 | PA      | $115944.60    | 0.06%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Company                                                          | CONOCOPHILLIPS CO COMPANY GUAR 03/62 4.025                    | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     45000 | PA      | $35424.05     | 0.02%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE MBS 30YR TBA                                                         | GINNIE MAE MBS 30YR TBA                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2600000 | PA      | $2181322.00   | 1.07%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2018 70 HA                                                | FANNIE MAE REMICS FNR 2018 70 HA                              | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92695 | PA      | $88979.75     | 0.04%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2019 7 JA                                                 | FANNIE MAE REMICS FNR 2019 7 JA                               | CUSIP: 3136B3Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131022 | PA      | $123393.20    | 0.06%             | 2049-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE MBS 30YR TBA                                                         | GINNIE MAE MBS 30YR TBA                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $6680073.75   | 3.28%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Emera Incorporated                                                              | EMERA INC JR SUBORDINA 06/76 VAR                              | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $105624.20    | 0.05%             | 2076-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc.                                                                    | ENCANA CORP COMPANY GUAR 08/34 6.5                            | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40249.89     | 0.02%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc.                                                                    | OVINTIV INC COMPANY GUAR 08/37 6.625                          | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $95545.91     | 0.05%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2019 12 HA                                                | FANNIE MAE REMICS FNR 2019 12 HA                              | CUSIP: 3136B4EJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148666 | PA      | $140542.23    | 0.07%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2019 14 CA                                                | FANNIE MAE REMICS FNR 2019 14 CA                              | CUSIP: 3136B4FP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163851 | PA      | $155715.25    | 0.08%             | 2049-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER OPERATING LP COMPANY GUAR 12/45 6.125         | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134159.98    | 0.07%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP SR UNSECURED 02/28 5.55                    | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109112.30    | 0.05%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2019 45 PT                                                | FANNIE MAE REMICS FNR 2019 45 PT                              | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139205 | PA      | $125784.49    | 0.06%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 3883 PB                                                  | FREDDIE MAC REMICS FHR 3883 PB                                | CUSIP: 3137ABM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59792 | PA      | $55426.55     | 0.03%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP SR UNSECURED 02/33 5.75                    | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53809.80     | 0.03%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER OPERATING LP COMPANY GUAR 04/29 5.25          | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    115000 | PA      | $111199.93    | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K064 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K064 X1                   | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2149544 | PA      | $45643.43     | 0.02%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K122 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K122 X1                   | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478402 | PA      | $24864.13     | 0.01%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                               | ENTERPRISE PRODUCTS OPERATING COMPANY GUAR 10/54 4.95         | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66582.21     | 0.03%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2012 120 ZB                                               | FANNIE MAE REMICS FNR 2012 120 ZB                             | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427989 | PA      | $393605.12    | 0.19%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K121 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K121 X1                   | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    847456 | PA      | $49969.03     | 0.02%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K124 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K124 X1                   | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1907449 | PA      | $83878.75     | 0.04%             | 2030-12-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2015 48 QB                                                | FANNIE MAE REMICS FNR 2015 48 QB                              | CUSIP: 3136APKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86596 | PA      | $82113.72     | 0.04%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2016 11 GA                                                | FANNIE MAE REMICS FNR 2016 11 GA                              | CUSIP: 3136ARQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89645 | PA      | $81939.94     | 0.04%             | 2046-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K068 A2                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K068 A2                   | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545000 | PA      | $517479.95    | 0.25%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K104 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K104 X1                   | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1305065 | PA      | $79031.75     | 0.04%             | 2030-01-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K111 X1                                     | FHLMC MULTIFAMILY STRUCTURED 05/30 1                          | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549673 | PA      | $48788.08     | 0.02%             | 2030-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K114 X1                                     | FREDDIE MAC MULTIFAMILY STRUCT FHMS K114 X1                   | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1598277 | PA      | $102966.42    | 0.05%             | 2030-06-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| STACR Trust 2018-HRP1                                                           | STACR TRUST 2018-HRP1 STACR 2018 HRP1 M2 144A                 | CUSIP: 3137G0VC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9682 | PA      | $9669.03      | 0.00%             | 2043-04-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5170 DP                                                  | FREDDIE MAC REMICS FHR 5170 DP                                | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455640 | PA      | $384921.85    | 0.19%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL FN 05/48 FIXED 3.5                            | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40627 | PA      | $37598.38     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 04/35 FIXED 6                                              | GINNIE MAE GN 04/35 FIXED 6                                   | CUSIP: 36291LGV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18787 | PA      | $19467.26     | 0.01%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 01/41 FIXED 4                                              | GINNIE MAE GN 01/41 FIXED 4                                   | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6784 | PA      | $6516.22      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Galaxy XXIII CLO Ltd.                                                           | GALAXY XXIII CLO LTD GALXY 2017 23A AR 144A                   | CUSIP: 36319TAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    753943 | PA      | $743283.32    | 0.36%             | 2029-04-24      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Limited                                            | GALAXY PIPELINE ASSETS BIDCO L SR SECURED 144A 09/40 2.94     | CUSIP: 36321PAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |    193306 | PA      | $155204.90    | 0.08%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| The Gap Inc.                                                                    | GAP INC/THE COMPANY GUAR 144A 10/29 3.625                     | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    240000 | PA      | $169296.00    | 0.08%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| The Gap Inc.                                                                    | GAP INC/THE COMPANY GUAR 144A 10/31 3.875                     | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    440000 | PA      | $306950.61    | 0.15%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Gartner Inc.                                                                    | GARTNER INC COMPANY GUAR 144A 07/28 4.5                       | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    193000 | PA      | $179939.69    | 0.09%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc.                                           | GENERAL MOTORS FINANCIAL CO IN SR UNSECURED 06/30 3.6         | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84156.25     | 0.04%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                           | GEORGIA POWER CO SR UNSECURED 03/42 4.3                       | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64397.47     | 0.03%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                           | GEORGIA POWER CO SR UNSECURED 05/32 4.7                       | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62663.88     | 0.03%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                               | HSBC HOLDINGS PLC SR UNSECURED 05/32 VAR                      | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $193419.77    | 0.09%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 04/32 VAR                         | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    350000 | PA      | $264084.29    | 0.13%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 07/28 VAR                         | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    395000 | PA      | $362314.01    | 0.18%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| ABFC 2006-HE1 Trust                                                             | ABFC 2006-HE1 TRUST ABFC 2006 HE1 A2D                         | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96074 | PA      | $56408.67     | 0.03%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| The AES Corporation                                                             | AES CORP/THE SR SECURED 144A 07/25 3.3                        | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    175000 | PA      | $165007.61    | 0.08%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ATandT Inc.                                                                     | ATandT INC SR UNSECURED 09/55 3.55                            | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    558000 | PA      | $372321.97    | 0.18%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ATandT Inc.                                                                     | ATandT INC SR UNSECURED 12/57 3.8                             | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     51000 | PA      | $35186.60     | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AASET 2020-1 TRUST AASET 2020 1A A 144A                                         | AASET 2020-1 TRUST AASET 2020 1A A 144A                       | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124544 | PA      | $99763.50     | 0.05%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR AFFRM 2020 Z1 A 144A                             | AFFIRM ASSET SECURITIZATION TR AFFRM 2020 Z1 A 144A           | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25480 | PA      | $25271.30     | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FS Luxembourg S.a r.l.                                                          | FS LUXEMBOURG SARL SR SECURED 144A 12/25 10                   | CUSIP: 30315XAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    200000 | PA      | $200886.00    | 0.10%             | 2025-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fair Isaac Corporation                                                          | FAIR ISAAC CORP SR UNSECURED 144A 06/28 4                     | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    386000 | PA      | $350297.32    | 0.17%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE CAS 2014 C04 1M2                                  | FANNIE MAE CONNECTICUT AVENUE CAS 2014 C04 1M2                | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40849 | PA      | $41912.29     | 0.02%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE CAS 2016 C07 2M2                                  | FANNIE MAE CONNECTICUT AVENUE CAS 2016 C07 2M2                | CUSIP: 30711XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187019 | PA      | $192647.93    | 0.09%             | 2029-05-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE CAS 2017 C01 1M2                                  | FANNIE MAE CONNECTICUT AVENUE CAS 2017 C01 1M2                | CUSIP: 30711XEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108382 | PA      | $110561.54    | 0.05%             | 2029-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 03/28 FIXED 7.5                                        | FREDDIE MAC FG 03/28 FIXED 7.5                                | CUSIP: 31283G6Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       535 | PA      | $553.72       | 0.00%             | 2028-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2012 21 PQ                                                | FANNIE MAE REMICS FNR 2012 21 PQ                              | CUSIP: 3136A36C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37426 | PA      | $33760.95     | 0.02%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2012 18 GA                                                | FANNIE MAE REMICS FNR 2012 18 GA                              | CUSIP: 3136A4TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64351 | PA      | $57380.40     | 0.03%             | 2041-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2012 52 PA                                                | FANNIE MAE REMICS FNR 2012 52 PA                              | CUSIP: 3136A6AN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56661 | PA      | $53406.32     | 0.03%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 202 FCAT 2022 3 B 144A                               | FLAGSHIP CREDIT AUTO TRUST 202 FCAT 2022 3 B 144A             | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239000 | PA      | $233285.58    | 0.11%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corporation                               | STATE BOARD OF ADMINISTRATION FLSGEN 07/25 FIXED 1.258        | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    510000 | PA      | $468257.67    | 0.23%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT 2019 3 MV                                    | SEASONED CREDIT RISK TRANSFER SCRT 2019 3 MV                  | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117878 | PA      | $107735.47    | 0.05%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM2 TRUST GCAT 2021 NQM2 A1 144A                                     | GCAT 2021-NQM2 TRUST GCAT 2021 NQM2 A1 144A                   | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202391 | PA      | $157297.45    | 0.08%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A                                     | GCAT GCAT 2021 NQM3 A1 144A                                   | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270436 | PA      | $215079.17    | 0.11%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc.                                                                | HANESBRANDS INC COMPANY GUAR 144A 05/26 4.875                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44678.55     | 0.02%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2005-8                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 1A2A              | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20667 | PA      | $14834.89     | 0.01%             | 2035-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2006-12                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13             | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124688 | PA      | $112317.13    | 0.06%             | 2036-12-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2006-12                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A             | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45418 | PA      | $39700.10     | 0.02%             | 2038-01-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2007-7                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 7 2A1B              | CUSIP: 411640AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48526 | PA      | $37600.14     | 0.02%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD-COLLATERALIZ NZES 2020 PLS1 A 144A                            | NRZ EXCESS SPREAD-COLLATERALIZ NZES 2020 PLS1 A 144A          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50693 | PA      | $46198.30     | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| The Home Depot Inc.                                                             | HOME DEPOT INC/THE SR UNSECURED 04/40 3.3                     | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     75000 | PA      | $59715.17     | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| The Home Depot Inc.                                                             | HOME DEPOT INC/THE SR UNSECURED 09/32 4.5                     | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     85000 | PA      | $82994.07     | 0.04%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| The Howard University                                                           | HOWARD UNIVERSITY INSURED 10/29 2.701                         | CUSIP: 442851AT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $84645.38     | 0.04%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| The Howard University                                                           | HOWARD UNIVERSITY INSURED 10/30 2.801                         | CUSIP: 442851AU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $83396.84     | 0.04%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| The Howard University                                                           | HOWARD UNIVERSITY INSURED 10/41 3.476                         | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $87002.84     | 0.04%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                     | HUMANA INC SR UNSECURED 03/29 3.7                             | CUSIP: 444859BT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $205996.21    | 0.10%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| IHS Holding Limited                                                             | IHS HOLDING LTD COMPANY GUAR 144A 11/28 6.25                  | CUSIP: 44963HAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    200000 | PA      | $161312.00    | 0.08%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                               | STATE OF ILLINOIS ILS 06/23 FIXED OID 4.95                    | CUSIP: 452151LE1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    129545 | PA      | $129613.01    | 0.06%             | 2023-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                               | STATE OF ILLINOIS ILS 01/23 FIXED 5                           | CUSIP: 452152KJ9<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     40000 | PA      | $40000.00     | 0.02%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2021 NQM2 A1 144A                          | IMPERIAL FUND MORTGAGE TRUST IMPRL 2021 NQM2 A1 144A          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203569 | PA      | $162275.58    | 0.08%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM2 A1 144A                          | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM2 A1 144A        | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599364 | PA      | $544157.25    | 0.27%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc.                                                         | IPALCO ENTERPRISES INC SR SECURED 09/24 3.7                   | CUSIP: 462613AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $169578.23    | 0.08%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                              | ITC HOLDINGS CORP SR UNSECURED 144A 05/30 2.95                | CUSIP: 465685AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $139185.09    | 0.07%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP SR UNSECURED 09/32 4.95                               | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    185000 | PA      | $173471.96    | 0.09%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MSCI Inc.                                                                       | MSCI INC COMPANY GUAR 144A 11/29 4                            | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78393.14     | 0.04%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIX LTD SNDPT 2021 1A A 144A                                   | SOUND POINT CLO XXIX LTD SNDPT 2021 1A A 144A                 | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    655000 | PA      | $630883.56    | 0.31%             | 2034-04-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                              | SOUTHERN CALIFORNIA EDISON CO 1ST REF MORT 04/47 4            | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     72000 | PA      | $56266.22     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                              | SOUTHERN CALIFORNIA EDISON CO 1ST MORTGAGE 08/29 2.85         | CUSIP: 842400GS6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    135000 | PA      | $117329.37    | 0.06%             | 2029-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                              | SOUTHERN CALIFORNIA EDISON CO 1ST MORTGAGE 02/32 2.75         | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    205000 | PA      | $171639.94    | 0.08%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                              | SOUTHERN CALIFORNIA EDISON CO 1ST MORTGAGE 06/27 4.7          | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    185000 | PA      | $181151.61    | 0.09%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                              | SOUTHERN CALIFORNIA EDISON CO 1ST MORTGAGE 11/27 5.85         | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41171.48     | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corporation                                                     | ONEMAIN FINANCE CORP COMPANY GUAR 03/24 6.125                 | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72545.25     | 0.04%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC SR UNSECURED 144A 11/28 VAR            | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $423760.61    | 0.21%             | 2028-11-16      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Standard Industries Inc.                                                        | STANDARD INDUSTRIES INC/NJ SR UNSECURED 144A 07/30 4.375      | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    410000 | PA      | $334119.07    | 0.16%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Standard Industries Inc.                                                        | STANDARD INDUSTRIES INC/NJ SR UNSECURED 144A 01/31 3.375      | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7525.03      | 0.00%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EURO BUXL 30Y BND 0323                                                          | EURO BUXL 30Y BND 0323                                        | CUSIP: ADI26YV46<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |         7 | NC      | $205598.53    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BUND FUTURE 0323                                                           | EURO-BUND FUTURE 0323                                         | CUSIP: ADI26YV61<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        19 | NC      | $171158.89    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-SCHATZ FUT 0323                                                            | EURO-SCHATZ FUT 0323                                          | CUSIP: ADI26YVB0<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        36 | NC      | $44424.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| US 10YR ULTRA FUT 0323                                                          | US 10YR ULTRA FUT 0323                                        | CUSIP: ADI26ZBM5<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        15 | NC      | $14904.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US 5YR NOTE CBT 0323                                                            | US 5YR NOTE CBT 0323                                          | CUSIP: ADI27GKS3<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        98 | NC      | $-27010.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US 2YR NOTE CBT 0323                                                            | US 2YR NOTE CBT 0323                                          | CUSIP: ADI27GZW8<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        27 | NC      | $24423.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AUST 10Y BOND FUT 0323                                                          | AUST 10Y BOND FUT 0323                                        | CUSIP: ADI28Q5N8<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        23 | NC      | $-101594.33   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| SENEGAL GOVERNMENT INTERNATION SR UNSECURED REGS 05/33 6.25                     | SENEGAL GOVERNMENT INTERNATION UNSECURED REGS 05/33 6.25      | CUSIP: AN6331648<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    255000 | PA      | $210834.59    | 0.10%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA GOVERNMENT INT SR UNSECURED REGS 01/25 2.75                     | NORTH MACEDONIA GOVERNMENT INT SR UNSECURED REGS 01/25 2.75   | CUSIP: AQ6167367<br>LEI: N/A                  | Long             | DBT              | NUSS              | MK        |    210000 | PA      | $209119.93    | 0.10%             | 2025-01-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | ROMANIAN GOVERNMENT INTERNATIO SR UNSECURED REGS 02/38 3.375  | CUSIP: AR0510891<br>LEI: N/A                  | Long             | DBT              | NUSS              | RO        |    170000 | PA      | $122379.14    | 0.06%             | 2038-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT INTERNATIONAL SR UNSECURED REGS 02/48 7.903                    | EGYPT GOVERNMENT INTERNATIONAL SR UNSECURED REGS 02/48 7.903  | CUSIP: AR2881704<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |    325000 | PA      | $204789.00    | 0.10%             | 2048-02-21      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Leviathan Bond Ltd                                                              | LEVIATHAN BOND LTD SR SECURED 144A REGS 06/27 6.5             | CUSIP: BK6709046<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |    235000 | PA      | $226972.84    | 0.11%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND 01/35 4.95                                                  | BENIN INTL GOV BOND 01/35 4.95                                | CUSIP: BQ5680468<br>LEI: N/A                  | Long             | DBT              | NUSS              | BJ        |    305000 | PA      | $236458.21    | 0.12%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MORTGAGE TRU BMARK 2018 B4 XA                                 | BENCHMARK 2018-B4 BMARK 2018 B4 XA                            | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287063 | PA      | $38730.95     | 0.02%             | 2051-07-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MORTGAGE TR BMARK 2019 B12 XA                                | BENCHMARK 2018-B1 MORTGAGE TRU BMARK 2019 B12 XA              | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1062438 | PA      | $44117.12     | 0.02%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MORTGAGE TRU BMARK 2018 B1 XA                                 | BENCHMARK 2018-B1 MORTGAGE TRU BMARK 2018 B1 XA               | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988671 | PA      | $19586.56     | 0.01%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MORTGAGE TRU BMARK 2018 B8 XA                                 | BENCHMARK 2018-B8 MORTGAGE TRU BMARK 2018 B8 XA               | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4548115 | PA      | $124288.14    | 0.06%             | 2052-01-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MORTGAGE TR BMARK 2019 B10 XA                                | BENCHMARK 2019-B10 MORTGAGE TR BMARK 2019 B10 XA              | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3169381 | PA      | $164045.91    | 0.08%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TR BMARK 2020 B18 XA                                | BENCHMARK MORTGAGE TRUST 07/53 1                              | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697106 | PA      | $54692.94     | 0.03%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B22 MORTGAGE TR BMARK 2020 B22 XA                                | BENCHMARK 2020-B22 MORTGAGE TR BMARK 2020 B22 XA              | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161178 | PA      | $100509.98    | 0.05%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| BERMUDA GOVERNMENT INTERNATION SR UNSECURED 144A 08/30 2.375                    | BERMUDA GOVERNMENT INTERNATION SR UNSECURED 144A 08/30 2.375  | CUSIP: 085209AG9<br>LEI: N/A                  | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $168707.38    | 0.08%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                                     | BNP PARIBAS SA SR UNSECURED 144A 06/26 VAR                    | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    240000 | PA      | $220353.16    | 0.11%             | 2026-06-09      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                                     | BNP PARIBAS SA SR UNSECURED 144A 01/28 VAR                    | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    220000 | PA      | $193490.53    | 0.09%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7               | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12141 | PA      | $10891.85     | 0.01%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MFCC 2021 1A A 144A                               | MERCURY FINANCIAL CREDIT CARD 03/26 1.54                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $238513.78    | 0.12%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                           | METROPOLITAN TRANSPORTATION AU MTATRN 11/45 FIXED OID 4.75    | CUSIP: 59261AG35<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    255000 | PA      | $238446.96    | 0.12%             | 2045-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                           | METROPOLITAN TRANSPORTATION AU MTATRN 11/49 FIXED 5.175       | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    705000 | PA      | $608416.20    | 0.30%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                          | MICRON TECHNOLOGY INC SR UNSECURED 11/29 6.75                 | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45709.96     | 0.02%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Mondelez International Inc.                                                     | MONDELEZ INTERNATIONAL INC SR UNSECURED 03/32 3               | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68430.70     | 0.03%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC 2017 H1 XA                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 H1 XA                 | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678449 | PA      | $25494.54     | 0.01%             | 2050-06-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 07/32 VAR                         | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $195634.47    | 0.10%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 10/32 VAR                         | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23476.84     | 0.01%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY SR UNSECURED 04/28 VAR                         | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    325000 | PA      | $309105.50    | 0.15%             | 2028-04-20      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 05/32 4.2                 | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47463.26     | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 05/62 4.95                | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28076.49     | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 02/28 5.25                | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    215000 | PA      | $219779.63    | 0.11%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 02/33 5.35                | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    170000 | PA      | $175386.93    | 0.09%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 02/53 5.875               | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21595.30     | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 02/63 6.05                | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32554.17     | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Unum Group                                                                      | UNUM GROUP SR UNSECURED 06/51 4.125                           | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23847.49     | 0.01%             | 2051-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL2 LLC VCAT 2021 NPL2 A1 144A                                       | VCAT 2021-NPL2 LLC VCAT 2021 NPL2 A1 144A                     | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75606 | PA      | $68316.88     | 0.03%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Var Energi ASA                                                                  | VAR ENERGI ASA SR UNSECURED 144A 01/28 7.5                    | CUSIP: 92212WAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |    250000 | PA      | $254650.45    | 0.12%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture 43 CLO Limited                                                          | VENTURE CLO 43 LIMITED 04/34 1                                | CUSIP: 92290CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $251992.26    | 0.12%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK31 BANK 2021 BN31 A4                                               | BANK 2021-BNK31 BANK 2021 BN31 A4                             | CUSIP: 06541ABG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $226939.34    | 0.11%             | 2054-02-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK23 BANK 2019 BN23 XA                                               | BANK 2019-BNK23 BANK 2019 BN23 XA 144A                        | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918184 | PA      | $70927.55     | 0.03%             | 2052-12-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8 BANK 2017 BNK8 XA                                                | BANK 2017-BNK8 BANK 2017 BNK8 XA                              | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3711620 | PA      | $102596.61    | 0.05%             | 2050-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC SR UNSECURED 11/28 VAR                           | CUSIP: 06738ECD5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208465.62    | 0.10%             | 2028-11-02      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Baxter International Inc.                                                       | BAXTER INTERNATIONAL INC SR UNSECURED 02/32 2.539             | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    330000 | PA      | $262149.80    | 0.13%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2017-C1 BBCMS 2017 C1 XA                                   | BBCMS MORTGAGE TRUST 2017-C1 BBCMS 2017 C1 XA                 | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2906367 | PA      | $135701.76    | 0.07%             | 2050-02-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2005-10                                                | BEAR STEARNS ALT-A TRUST 2005- BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80941 | PA      | $103497.13    | 0.05%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust 2006-AR3                                    | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR3 1A1               | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7024 | PA      | $5780.03      | 0.00%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                                     | BNP PARIBAS SA SUBORDINATED 144A 03/33 VAR                    | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $207668.43    | 0.10%             | 2033-03-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BUCKHORN PARK CLO LTD BKPRK 2019 1A AR 144A                                     | BUCKHORN PARK CLO LTD BKPRK 2019 1A AR 144A                   | CUSIP: 118382AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $537017.25    | 0.26%             | 2034-07-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource Inc.                                                       | BUILDERS FIRSTSOURCE INC COMPANY GUAR 144A 03/30 5            | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    225000 | PA      | $199367.78    | 0.10%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc.                                                                      | ONEOK INC COMPANY GUAR 03/30 3.1                              | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $104751.14    | 0.05%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc.                                                                      | ONEOK INC COMPANY GUAR 01/31 6.35                             | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     27000 | PA      | $27430.51     | 0.01%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc.                                                                      | ONEOK INC COMPANY GUAR 11/32 6.1                              | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94995.30     | 0.05%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Open Text Corporation                                                           | OPEN TEXT CORP COMPANY GUAR 144A 12/29 3.875                  | CUSIP: 683715AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    355000 | PA      | $285486.74    | 0.14%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Open Text Corporation                                                           | OPEN TEXT CORP SR SECURED 144A 12/27 6.9                      | CUSIP: 683715AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    180000 | PA      | $180000.00    | 0.09%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Open Text Holdings Inc.                                                         | OPEN TEXT HOLDINGS INC COMPANY GUAR 144A 12/31 4.125          | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $46637.73     | 0.02%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                              | ORACLE CORP SR UNSECURED 05/45 4.125                          | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7541.72      | 0.00%             | 2045-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                              | ORACLE CORP SR UNSECURED 11/47 4                              | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $51162.70     | 0.03%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                              | ORACLE CORP SR UNSECURED 04/60 3.85                           | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    440000 | PA      | $292351.19    | 0.14%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                              | ORACLE CORP SR UNSECURED 03/61 4.1                            | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    115000 | PA      | $79829.41     | 0.04%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                              | ORACLE CORP SR UNSECURED 11/29 6.15                           | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    190000 | PA      | $197213.52    | 0.10%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corporation                                                      | OTIS WORLDWIDE CORP SR UNSECURED 02/30 2.565                  | CUSIP: 68902VAK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $176441.86    | 0.09%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-3 LLC PRPM 2021 3 A1 144A                                             | PRPM 2021-3 LLC PRPM 2021 3 A1 144A                           | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202320 | PA      | $180370.38    | 0.09%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-4 LLC PRPM 2021 4 A1 144A                                             | PRPM 2021-4 LLC PRPM 2021 4 A1 144A                           | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272736 | PA      | $244217.74    | 0.12%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRPM 2020-6 LLC PRPM 2020 6 A1 144A                                             | PRESTON RIDGE PARTNERS MORTGA 11/25 1                         | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73518 | PA      | $67838.12     | 0.03%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-9 LLC PRPM 2021 9 A1 144A                                             | PRPM 2021-9 LLC PRPM 2021 9 A1 144A                           | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497263 | PA      | $447641.82    | 0.22%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 05/27 FIXED 7.5                                        | FREDDIE MAC FG 05/27 FIXED 7.5                                | CUSIP: 31283GX77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $194.73       | 0.00%             | 2027-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TRUST GCAT 2021 NQM7 A1 144A                                     | GCAT 2021-NQM7 TRUST GCAT 2021 NQM7 A1 144A                   | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198584 | PA      | $173872.90    | 0.09%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 02/42 FIXED 4                                              | GINNIE MAE GN 02/42 FIXED 4                                   | CUSIP: 36177JSM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1061 | PA      | $1021.86      | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. / GLP Financing II Inc.                                        | GLP CAPITAL LP / GLP FINANCING COMPANY GUAR 06/28 5.75        | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $127468.84    | 0.06%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. / GLP Financing II Inc.                                        | GLP CAPITAL LP / GLP FINANCING COMPANY GUAR 01/29 5.3         | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $123024.20    | 0.06%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 10/28 FIXED 6.5                                            | GINNIE MAE GN 10/28 FIXED 6.5                                 | CUSIP: 36208QSN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7800 | PA      | $7998.15      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2017-2                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 2A A3 144A            | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309013 | PA      | $289518.17    | 0.14%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2016-4                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2016 4A A1 144A            | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191071 | PA      | $174407.22    | 0.09%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2017-4                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 4A A1 144A            | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168141 | PA      | $156256.85    | 0.08%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2017-6                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 6A A1 144A            | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294771 | PA      | $275416.61    | 0.14%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 1A A1A 144A                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 1A A1A                | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125031 | PA      | $117254.20    | 0.06%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A A1B 144A                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A A1B 144A           | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181865 | PA      | $168111.98    | 0.08%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-NQM2R                                  | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A          | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104859 | PA      | $90646.90     | 0.04%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corporation                                 | NEW YORK TRANSPORTATION DEVELO NYTTRN 09/35 FIXED 4.248       | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    640000 | PA      | $615082.88    | 0.30%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc.                                            | NEXTERA ENERGY CAPITAL HOLDING COMPANY GUAR 07/27 4.625       | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294976.61    | 0.14%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                    | NORTHROP GRUMMAN CORP SR UNSECURED 05/40 5.15                 | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     95000 | PA      | $92333.93     | 0.05%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corporation                                                              | NVIDIA CORP SR UNSECURED 04/40 3.5                            | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    110000 | PA      | $89078.93     | 0.04%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc.                                                        | O'REILLY AUTOMOTIVE INC SR UNSECURED 06/32 4.7                | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    180000 | PA      | $173982.75    | 0.09%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 TRUST OBX 2021 NQM1 A1 144A                                       | OBX 2021-NQM1 TRUST OBX 2021 NQM1 A1 144A                     | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281448 | PA      | $218942.23    | 0.11%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A                                       | OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A                     | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257900 | PA      | $193844.32    | 0.10%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM1 TRUST OBX 2022 NQM1 A1 144A                                       | OBX 2022-NQM1 TRUST OBX 2022 NQM1 A1 144A                     | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504359 | PA      | $432212.66    | 0.21%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Oaktown Re II Ltd.                                                              | OAKTOWN RE II LTD OMIR 2018 1A M1 144A                        | CUSIP: 67400CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93982 | PA      | $93904.54     | 0.05%             | 2028-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corporation (An Electric Membership Corporation)               | OGLETHORPE POWER CORP 1ST MORTGAGE 144A 04/47 4.5             | CUSIP: 677050AR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $63513.45     | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc.                                                                      | ONEOK INC COMPANY GUAR 07/28 4.55                             | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28314.27     | 0.01%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc.                                                                      | ONEOK INC COMPANY GUAR 09/29 3.4                              | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    130000 | PA      | $112353.64    | 0.06%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| RR 1 LLC                                                                        | RR 1 LTD 07/35 1                                              | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    675000 | PA      | $659966.40    | 0.32%             | 2035-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST ASSET BACKED 144A 01/25 2.836                 | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $282755.10    | 0.14%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL3 LLC VCAT 2021 NPL3 A1 144A                                       | VCAT ASSET SECURITIZATION LLC VCAT 2021 NPL3 A1 144A          | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239801 | PA      | $207657.25    | 0.10%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Venture XXI CLO Limited                                                         | VENTURE XXI CLO LTD VENTR 2015 21A AR 144A                    | CUSIP: 92330MAL3<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |     48442 | PA      | $48406.26     | 0.02%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 11/42 3.85            | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27738.73     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 01/36 4.272           | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13352.77     | 0.01%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 03/50 4               | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11735.40     | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 11/40 2.65            | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     70000 | PA      | $47248.87     | 0.02%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 09/41 2.85            | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     90000 | PA      | $61938.12     | 0.03%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                     | VERIZON COMMUNICATIONS INC SR UNSECURED 03/32 2.355           | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    135000 | PA      | $107014.78    | 0.05%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A                            | VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A          | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135210 | PA      | $122563.54    | 0.06%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 2 A1 144A                             | VERUS SECURITIZATION TRUST 202 VERUS 2021 2 A1 144A           | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124618 | PA      | $103483.70    | 0.05%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A                             | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610000 | PA      | $539475.77    | 0.26%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MSBAM 2014 C19 XA                                | MORGAN STANLEY BANK OF AMERICA MSBAM 2014 C19 XA              | CUSIP: 61764PBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943280 | PA      | $12557.70     | 0.01%             | 2047-12-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                                         | MUNICIPAL ELECTRIC AUTHORITY O MELPWR 04/57 FIXED 6.637       | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |     90000 | PA      | $96276.76     | 0.05%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| NBM US Holdings Inc.                                                            | NBM US HOLDINGS INC COMPANY GUAR 144A 05/26 7                 | CUSIP: 62877VAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $417064.20    | 0.20%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A                                      | NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A                    | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435896 | PA      | $347597.00    | 0.17%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                                 | NGPL PIPECO LLC SR UNSECURED 144A 07/31 3.25                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    105000 | PA      | $85407.32     | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc.                                                                 | NRG ENERGY INC SR SECURED 144A 12/27 2.45                     | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    190000 | PA      | $157425.42    | 0.08%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                        | NXP BV / NXP FUNDING LLC COMPANY GUAR 12/28 5.55              | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     95000 | PA      | $94872.71     | 0.05%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP COMPANY GUAR 06/29 4.3                           | NXP BV / NXP FUNDING LLC / NXP COMPANY GUAR 06/29 4.3         | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     25000 | PA      | $23307.48     | 0.01%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corporation                        | NATIONAL RURAL UTILITIES COOPE SR UNSECURED 03/28 4.8         | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138801.53    | 0.07%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 EA A 144A                             | NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 EA A 144A           | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178407 | PA      | $149455.20    | 0.07%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-NQM4                                   | NEW RESIDENTIAL MORTGAGE LOA 09/59 1                          | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48371 | PA      | $43577.84     | 0.02%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 4A A1S 144A                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 4A A1S 144A           | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220002 | PA      | $210921.90    | 0.10%             | 2048-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2017-3                                      | NEW RESIDENTIAL MORTGAGE LOAN 04/57 1                         | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243602 | PA      | $229888.63    | 0.11%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 5A A1 144A                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 5A A1 144A            | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158068 | PA      | $154563.26    | 0.08%             | 2057-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2016-2                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2016 2A A1 144A            | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169458 | PA      | $156880.08    | 0.08%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A A1 144A            | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335897 | PA      | $315696.50    | 0.15%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                                                   | NISOURCE INC SR UNSECURED 05/27 3.49                          | CUSIP: 65473QBE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $197799.65    | 0.10%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Nokia Oyj                                                                       | NOKIA OYJ SR UNSECURED 06/27 4.375                            | CUSIP: 654902AE5<br>LEI: 549300A0JPRWG1KI7U06 | Long             | DBT              | CORP              | FI        |    130000 | PA      | $122729.04    | 0.06%             | 2027-06-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Gen Digital Inc.                                                                | NORTONLIFELOCK INC COMPANY GUAR 144A 09/27 6.75               | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68600.00     | 0.03%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust 2020-3                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2020 3A D 144A           | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $203734.54    | 0.10%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2022 2A B 144A                             | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2022 2A B 144A           | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $262879.75    | 0.13%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| The William Carter Company                                                      | WILLIAM CARTER CO/THE COMPANY GUAR 144A 03/27 5.625           | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100718.01    | 0.05%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENERGO - PRO a.s.                                                               | ENERGO-PRO AS SR UNSECURED 144A 02/27 8.5                     | CUSIP: BT5968685<br>LEI: N/A                  | Long             | DBT              | CORP              | CZ        |    315000 | PA      | $285569.55    | 0.14%             | 2027-02-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bond                                            | PANAMA GOVERNMENT INTERNATIONA SR UNSECURED 02/35 6.4         | CUSIP: 698299BT0<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $202881.99    | 0.10%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 11/24 2.7                      | PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 11/24 2.7    | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $193238.17    | 0.09%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 07/25 4                        | PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 07/25 4      | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $162649.29    | 0.08%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 07/27 4.4                      | PENSKE TRUCK LEASING CO LP / P SR UNSECURED 144A 07/27 4.4    | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $132852.15    | 0.07%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development                               | PHILADELPHIA AUTHORITY FOR IND PHIDEV 10/28 FIXED 6.55        | CUSIP: 71781LBH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    675000 | PA      | $705562.58    | 0.35%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                | PHILIP MORRIS INTERNATIONAL IN SR UNSECURED 11/27 5.125       | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    215000 | PA      | $216570.23    | 0.11%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                | PHILIP MORRIS INTERNATIONAL IN SR UNSECURED 11/29 5.625       | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96375.45     | 0.05%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P. and PAA Finance Corp.                         | PLAINS ALL AMERICAN PIPELINE L SR UNSECURED 09/30 3.8         | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $143398.39    | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL3 LLC PRET 2021 NPL3 A1 144A                                       | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A         | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216267 | PA      | $190843.31    | 0.09%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 PROG 2022 SFR3 A 144A                            | PROGRESS RESIDENTIAL 2022-SFR3 PROG 2022 SFR3 A 144A          | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $122370.35    | 0.06%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5 PROG 2022 SFR5 A 144A                            | PROGRESS RESIDENTIAL 2022-SFR5 PROG 2022 SFR5 A 144A          | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104722 | PA      | $98215.83     | 0.05%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR7 PROG 2022 SFR7 A 144A                            | PROGRESS RESIDENTIAL 2022-SFR7 PROG 2022 SFR7 A 144A          | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $158688.02    | 0.08%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR8 PROG 2021 SFR8 A 144A                            | PROGRESS RESIDENTIAL 2021-SFR8 PROG 2021 SFR8 A 144A          | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394059 | PA      | $335720.19    | 0.16%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR6 PROG 2022 SFR6 A 144A                            | PROGRESS RESIDENTIAL 2022-SFR6 PROG 2022 SFR6 A 144A          | CUSIP: 74334DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $589827.81    | 0.29%             | 2039-07-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc.                                                               | PUGET ENERGY INC SR SECURED 05/25 3.65                        | CUSIP: 745310AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $171202.64    | 0.08%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc.                                                               | PUGET ENERGY INC SR SECURED 06/30 4.1                         | CUSIP: 745310AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $116084.95    | 0.06%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PulteGroup Inc.                                                                 | PULTEGROUP INC COMPANY GUAR 03/26 5.5                         | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    307000 | PA      | $308091.44    | 0.15%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Qorvo Inc.                                                                      | QORVO INC COMPANY GUAR 10/29 4.375                            | CUSIP: 74736KAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $26527.20     | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Qorvo Inc.                                                                      | QORVO INC COMPANY GUAR 144A 04/31 3.375                       | CUSIP: 74736KAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $44189.15     | 0.02%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RR 16 LTD RRAM 2021 16A A1 144A                                                 | RR 16 LTD RRAM 2021 16A A1 144A                               | CUSIP: 74971CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    585000 | PA      | $571812.93    | 0.28%             | 2036-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Rali Series 2007-Qh7 Trust                                                      | RALI SERIES 2007-QH7 TRUST RALI 2007 QH7 1A1                  | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38920 | PA      | $34421.61     | 0.02%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| REGATTA VI FUNDING LTD REGT6 2016 1A AR2 144A                                   | REGATTA VI FUNDING LTD. 04/34 1                               | CUSIP: 75887NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    595000 | PA      | $578306.09    | 0.28%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| County of Riverside                                                             | COUNTY OF RIVERSIDE CA RIV 02/28 FIXED 3.07                   | CUSIP: 76913CBC2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | PA      | $544576.20    | 0.27%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                      | ROGERS COMMUNICATIONS INC COMPANY GUAR 144A 03/32 3.8         | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $25888.61     | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                      | ROGERS COMMUNICATIONS INC COMPANY GUAR 144A 03/52 4.55        | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    115000 | PA      | $89157.90     | 0.04%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | ROYALTY PHARMA PLC COMPANY GUAR 09/30 2.2                     | CUSIP: 78081BAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $66432.86     | 0.03%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | ROYALTY PHARMA PLC COMPANY GUAR 09/40 3.3                     | CUSIP: 78081BAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $17350.71     | 0.01%             | 2040-09-02      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | ROYALTY PHARMA PLC COMPANY GUAR 09/31 2.15                    | CUSIP: 78081BAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $317619.34    | 0.16%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY SR UNSECURED 02/28 3.4                          | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185619.95    | 0.09%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY SR UNSECURED 02/38 3.8                          | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     85000 | PA      | $69703.71     | 0.03%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY SR UNSECURED 02/48 4                            | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19481.91     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Williams Companies Inc.                                                     | WILLIAMS COS INC/THE SR UNSECURED 08/32 4.65                  | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134981.05    | 0.07%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc.                                                       | WILLIS NORTH AMERICA INC COMPANY GUAR 05/24 3.6               | CUSIP: 970648AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $111864.00    | 0.05%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2020-1 C WINDR 2020 1A A 144A                             | THL CREDIT WIND RIVER 2020-1 C WINDR 2020 1A A 144A           | CUSIP: 973142AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $509513.68    | 0.25%             | 2033-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                                            | WINGSTOP FUNDING LLC WSTOP 2020 1A A2 144A                    | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99000 | PA      | $83662.92     | 0.04%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc.                                                                | XCEL ENERGY INC SR UNSECURED 06/32 4.6                        | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     85000 | PA      | $81177.92     | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| US LONG BONDCBT 0323                                                            | US LONG BONDCBT 0323                                          | CUSIP: ADI26YSS7<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        59 | NC      | $68203.58     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| US ULTRA BONDCBT 0323                                                           | US ULTRA BONDCBT 0323                                         | CUSIP: ADI26YTH0<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        56 | NC      | $107086.95    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| US 10YR NOTE CBT 0323                                                           | US 10YR NOTE CBT 0323                                         | CUSIP: ADI26YV04<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       195 | NC      | $97547.77     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| American Tower Corporation                                                      | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                   | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    135000 | PA      | $126087.36    | 0.06%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2019 3 D                                   | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2019 3 D                 | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $283626.13    | 0.14%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XI LLC                                       | AMUR EQUIPMENT FINANCE RECEIVA AXIS 2022 2A A2 144A           | CUSIP: 03236XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $118675.37    | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A2 144A                              | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A2 144A            | CUSIP: 03464EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139055 | PA      | $106676.07    | 0.05%             | 2065-01-20      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 R1 A1 144A                             | ANGEL OAK MORTGAGE TRUST 12/24 1                              | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137509 | PA      | $127913.71    | 0.06%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 2 A1 144A                              | ANGEL OAK MORTGAGE TRUST 04/66 1                              | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145243 | PA      | $119213.43    | 0.06%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A            | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360636 | PA      | $294164.87    | 0.14%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A                              | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A            | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502187 | PA      | $396978.02    | 0.19%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust 2006-AA2                                                         | BCAP LLC TRUST 2006-AA2 BCAP 2006 AA2 A1                      | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80901 | PA      | $67943.41     | 0.03%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BPR TRUST BPR 2022 STAR A                                                       | BPR TRUST BPR 2022 STAR A                                     | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $270621.26    | 0.13%             | 2024-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-PSB BX 2022 PSB A 144A                                            | BX TRUST 2022-PSB BX 2022 PSB A 144A                          | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276798 | PA      | $276252.97    | 0.14%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 08/34 FIXED 6.5                                        | FREDDIE MAC FG 08/34 FIXED 6.5                                | CUSIP: 31283H4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1443 | PA      | $1521.65      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 12/25 FIXED 7.5                                        | FREDDIE MAC FG 12/25 FIXED 7.5                                | CUSIP: 3128F5WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $334.72       | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 12/34 FIXED 5                                          | FREDDIE MAC FG 12/34 FIXED 5                                  | CUSIP: 3128M6Y28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76531 | PA      | $76922.49     | 0.04%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 04/48 FIXED 3                                          | FREDDIE MAC GOLD POOL FG 04/48 FIXED 3                        | CUSIP: 3128MJ3R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16064 | PA      | $14389.14     | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 06/48 FIXED 3.5                                        | FREDDIE MAC FG 06/48 FIXED 3.5                                | CUSIP: 3128MJ4A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633791 | PA      | $586701.86    | 0.29%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 12/46 FIXED 3                                          | FREDDIE MAC GOLD POOL FG 12/46 FIXED 3                        | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24076 | PA      | $21670.19     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 05/28 FIXED 7.5                                        | FREDDIE MAC FG 05/28 FIXED 7.5                                | CUSIP: 31292GVL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       190 | PA      | $197.45       | 0.00%             | 2028-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 04/29 FIXED 6.5                                        | FREDDIE MAC FG 04/29 FIXED 6.5                                | CUSIP: 31293PE43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $315.58       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 11/33 FIXED 6.5                                        | FREDDIE MAC FG 11/33 FIXED 6.5                                | CUSIP: 31296QJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2957 | PA      | $3121.51      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL FG 01/47 FIXED 3                                          | FREDDIE MAC GOLD POOL FG 01/47 FIXED 3                        | CUSIP: 3132WKHA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114295 | PA      | $102232.31    | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. / GLP Financing II Inc.                                        | GLP CAPITAL LP / GLP FINANCING COMPANY GUAR 01/31 4           | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $72913.00     | 0.04%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust 2006-AR1                                              | GMACM MORTGAGE LOAN TRUST 2006 GMACM 2006 AR1 1A1             | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95910 | PA      | $71868.68     | 0.04%             | 2036-04-19      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 06/28 FIXED 6.5                                            | GINNIE MAE GN 06/28 FIXED 6.5                                 | CUSIP: 36208WDY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2107 | PA      | $2133.73      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL GN 11/40 FIXED 4                                              | GINNIE MAE GN 11/40 FIXED 4                                   | CUSIP: 3620ARQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3249 | PA      | $3119.22      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST CAMB 2019 LIFE F 144A                            | CAMB COMMERCIAL MORTGAGE TRUST CAMB 2019 LIFE F 144A          | CUSIP: 12482HAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $338060.50    | 0.17%             | 2037-12-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | PARAMOUNT GLOBAL SR UNSECURED 06/29 4.2                       | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35613.98     | 0.02%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP COMPANY GUAR 05/25 4.125                             | CDW LLC / CDW FINANCE CORP COMPANY GUAR 05/25 4.125           | CUSIP: 12513GBE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $223348.40    | 0.11%             | 2025-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP COMPANY GUAR 02/29 3.25                              | CDW LLC / CDW FINANCE CORP COMPANY GUAR 02/29 3.25            | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $289574.60    | 0.14%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/26 2.67                              | CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/26 2.67            | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53269.08     | 0.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/28 3.276                             | CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/28 3.276           | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $47088.80     | 0.02%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/31 3.569                             | CDW LLC / CDW FINANCE CORP COMPANY GUAR 12/31 3.569           | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $41201.81     | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT 2020 1 A2 144A                                     | CF HIPPOLYTA LLC SORT 2020 1 A2 144A                          | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128816 | PA      | $106251.58    | 0.05%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM8 CSMC 2021 NQM8 A1 144A                                           | CSMC 2021-NQM8 CSMC 2021 NQM8 A1 144A                         | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257641 | PA      | $218557.98    | 0.11%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| CSL Finance Plc                                                                 | CSL UK HOLDINGS LTD COMPANY GUAR 144A 04/29 4.05              | CUSIP: 12661PAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    155000 | PA      | $146093.21    | 0.07%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GHANA GOVERNMENT INTERNATIONAL SR UNSECURED 144A 02/27 6.375                    | GHANA GOVERNMENT INTERNATIONAL SR UNSECURED 144A 02/27 6.375  | CUSIP: 37443GAG6<br>LEI: N/A                  | Long             | DBT              | NUSS              | GH        |    200000 | PA      | $75400.00     | 0.04%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TR GCAR 2022 3A B 144A                              | GLS AUTO RECEIVABLES ISSUER TR GCAR 2022 3A B 144A            | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $44067.72     | 0.02%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD COMPANY GUAR 144A 12/27 5.25                     | GO DADDY OPERATING CO LLC / GD COMPANY GUAR 144A 12/27 5.25   | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    454000 | PA      | $429692.86    | 0.21%             | 2027-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD COMPANY GUAR 144A 03/29 3.5                      | GO DADDY OPERATING CO LLC / GD COMPANY GUAR 144A 03/29 3.5    | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $46045.56     | 0.02%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 05/29 VAR            | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    235000 | PA      | $218930.22    | 0.11%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 04/32 VAR            | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    340000 | PA      | $271146.88    | 0.13%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 07/32 VAR            | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    325000 | PA      | $252170.32    | 0.12%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 10/32 VAR            | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27634.93     | 0.01%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 02/33 VAR            | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81198.05     | 0.04%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group Inc.                                                    | GOLDMAN SACHS GROUP INC/THE SR UNSECURED 08/28 VAR            | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62296.94     | 0.03%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 XS                 | CUSIP: 38374NQG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19410 | PA      | $615.80       | 0.00%             | 2035-09-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 37 LG                 | CUSIP: 38378JNS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69296 | PA      | $65243.03     | 0.03%             | 2042-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FINANCE DEPARTMENT GOVERNMENT SR UNSECURED 144A 03/33 3.625                     | FIN DEPT GOVT SHARJAH 03/33 3.625                             | CUSIP: 38381CAC6<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |    280000 | PA      | $231953.12    | 0.11%             | 2033-03-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                               | HSBC HLDGS PLC 03/33 VAR                                      | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173332.18    | 0.09%             | 2033-03-29      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                               | HSBC HOLDINGS PLC SR UNSECURED 08/33 VAR                      | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    770000 | PA      | $713037.78    | 0.35%             | 2033-08-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY INFLATI 07/29 0.25                                       | UNITED STATES TREASURY INFLATI 07/29 0.25                     | CUSIP: 9128287D6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3529647 | PA      | $3231208.78   | 1.59%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY INFLATI 07/28 0.75                                       | UNITED STATES TREASURY INFLATI 07/28 0.75                     | CUSIP: 912828Y38<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2282736 | PA      | $2174398.96   | 1.07%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/30 0.625                    | CUSIP: 912828ZQ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3430000 | PA      | $2714657.41   | 1.33%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 05/31 1.625                    | CUSIP: 91282CCB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6790000 | PA      | $5710230.84   | 2.80%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 02/32 1.875                    | CUSIP: 91282CDY4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3110000 | PA      | $2638276.16   | 1.29%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY INFLATI 07/32 0.625                                      | UNITED STATES TREASURY INFLATI 07/32 0.625                    | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3599680 | PA      | $3297007.45   | 1.62%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BO 08/32 2.75                     | CUSIP: 91282CFF3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2945000 | PA      | $2681790.63   | 1.32%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 08/39 3.5                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57209.91     | 0.03%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 05/40 2.75                | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    110000 | PA      | $79803.49     | 0.04%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                                 | UNITEDHEALTH GROUP INC SR UNSECURED 05/29 4                   | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133699.76    | 0.07%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 20 LMAT 2021 GS4 A1 144A                            | LEGACY MORTGAGE ASSET TRUST 20 LMAT 2021 GS4 A1 144A          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100922 | PA      | $90213.50     | 0.04%             | 2060-11-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 20 LMAT 2021 GS2 A1 144A                            | LEGACY MORTGAGE ASSET TRUST 20 LMAT 2021 GS2 A1 144A          | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152569 | PA      | $137905.54    | 0.07%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust Series 2006-16N                                                 | LEHMAN XS TRUST SERIES 2006-16 LXS 2006 16N A4A               | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106718 | PA      | $89568.78     | 0.04%             | 2046-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                     | LOCKHEED MARTIN CORP SR UNSECURED 11/27 5.1                   | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    355000 | PA      | $362823.24    | 0.18%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Lowe`s Companies Inc.                                                           | LOWE'S COS INC SR UNSECURED 04/33 5                           | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97621.09     | 0.05%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LT LSTRZ 2019 4 A1 144A                             | LSTAR SECURITIES INVESTMENT LT LSTRZ 2019 4 A1 144A           | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223956 | PA      | $222638.38    | 0.11%             | 2024-05-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LT LSTRZ 2021 1 A 144A                              | LSTAR SECURITIES INVESTMENT LT LSTRZ 2021 1 A 144A            | CUSIP: 54912MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241755 | PA      | $238123.38    | 0.12%             | 2026-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust 2006-4                                                  | LUMINENT MORTGAGE TRUST 2006-4 LUM 2006 4 A1A                 | CUSIP: 55027BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95693 | PA      | $77485.60     | 0.04%             | 2046-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | LUNDIN ENERGY FINANCE BV COMPANY GUAR 144A 07/26 2            | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $176662.16    | 0.09%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST MFRA 2020 NQM3 A1 144A                                      | MFA 2020-NQM3 TRUST MFRA 2020 NQM3 A1 144A                    | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29688 | PA      | $27079.19     | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NPL1 LLC MFRA 2021 NPL1 A1 144A                                        | MFA 2021-NPL1 LLC MFRA 2021 NPL1 A1 144A                      | CUSIP: 55282YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329136 | PA      | $308941.82    | 0.15%             | 2060-03-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A                                      | MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A                    | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130454 | PA      | $112552.42    | 0.06%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM2 TRUST MFRA 2021 NQM2 A1 144A                                      | MFRA TRUST MFRA 2021 NQM2 A1 144A                             | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153805 | PA      | $124853.71    | 0.06%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD MF1 2022 FL8 AS 144A                                           | MF1 2022-FL8 LTD MF1 2022 FL8 AS 144A                         | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    335000 | PA      | $319610.60    | 0.16%             | 2037-02-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP SR UNSECURED 03/52 4.95                               | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57179.08     | 0.03%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVIII L MDPK 2021 38A A 144A                             | MADISON PARK FUNDING LTD 07/34 1                              | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    655000 | PA      | $638515.62    | 0.31%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                 | MAGALLANES INC COMPANY GUAR 144A 03/32 4.279                  | CUSIP: 55903VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $177109.42    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                 | MAGALLANES INC COMPANY GUAR 144A 03/52 5.141                  | CUSIP: 55903VAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $330769.72    | 0.16%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2021-2 MFT 2021 2A B 144A                                | MARLETTE FUNDING TRUST 2021-2 MFT 2021 2A B 144A              | CUSIP: 57108TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $117053.05    | 0.06%             | 2031-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Marsh and McLennan Companies Inc.                                               | MARSH and MCLENNAN COS INC SR UNSECURED 03/39 4.75            | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110266.21    | 0.05%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CDS CDX.EM.38 P 100 20271220                                                    | CDS CDX.EM.38 P 100 20271220                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |   1090000 | PA      | $63761.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS Federative Republic of Brazil P 100 20270620                                | CDS Federative Republic of Brazil P 100 20270620              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | BR        |    937000 | PA      | $48344.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS USD P 1.56 20211215-20511215                                                | IRS USD P 1.56 20211215-20511215                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1320000 | PA      | $405990.95    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS USD P 1.56 20211215-20411215                                                | IRS USD P 1.56 20211215-20411215                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2185000 | PA      | $577854.93    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** John Hancock Variable Insurance Trust

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer