# EDGAR Filing Document

**Accession Number:** 0000916620
**File Stem:** 0002066578-26-001903
**Filing Date:** 2026-5
**Character Count:** 110466
**Document Hash:** 1a8684be0f7269b51328b8addf3ae36e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002066578-26-001903.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0002066578-26-001903

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHERN FUNDS
- **CENTRAL INDEX KEY:** 0000916620

**ORGANIZATION NAME:**
- **EIN:** 391777365
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08236
- **FILM NUMBER:** 261034949

**BUSINESS ADDRESS:**
- **STREET 1:** NORTHERN FUNDS
- **STREET 2:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603
- **BUSINESS PHONE:** 800-595-9111

**MAIL ADDRESS:**
- **STREET 1:** NORTHERN FUNDS
- **STREET 2:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603

## Series and Classes Contracts Data

### CORE BOND FUND (Series ID: S000038895)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000119673 | CORE BOND FUND | NOCBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Northern Funds

- **b. Investment Company Act file number:** 811-08236

- **c. CIK number of Registrant:** 0000916620

- **d. LEI of Registrant:** 5493004ZY1PEJR3C0A81

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

  - **Street Address 1:** 50 South LaSalle Street

  - **City:** Chicago

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60603

  - **Telephone number:** 800-595-9111

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

- **a. Name of Series:** Core Bond Fund

- **b. EDGAR series identifier (if any):** S000038895

- **c. LEI of Series:** 549300VLPNL1PHV9X402

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $91726935.09

**Total Liabilities:** $424028.18

**Net Assets:** $91302906.91

**Delayed Delivery Securities:** $300000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 70.158940890005 | **1-Year:** 2828.111862887006 | **5-Year:** 9542.889653699538 | **10-Year:** 8980.691882346393 | **30-Year:** 3459.205034592784

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

- **3-Month:** 185834.103656404506 | **1-Year:** 67.863755580948 | **5-Year:** 21.620853537926 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000119673 | 0.14%                | 1.45%                | -1.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $21885.21                | $-205988.02                                |
| Month 2  | $62080.23                | $964539.54                                 |
| Month 3  | $-6902.29                | $-1868655.44                               |

**Designated Index Information**

- **Index Name:** BBG US Aggregate

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132DSV58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160616 | PA      | $166116.94    | 0.18%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION B 3.913% | TORONTO-DOMINION B 3.913% | CUSIP: 89115KAK6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    675000 | PA      | $670168.59    | 0.73%             | 2028-01-13      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JABIL INC 4.75%           | JABIL INC 4.75%           | CUSIP: 46656PAD6<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    230000 | PA      | $223951.75    | 0.25%             | 2033-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOTHEBY S ARTFI MAS 4.80% | SOTHEBY S ARTFI MAS 4.80% | CUSIP: 83589DAA4<br>LEI: 549300P5BAAMQQ7VL735 | Long             | ABS-O            | CORP              | US        |    119000 | PA      | $118814.82    | 0.13%             | 2033-06-20      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.00%    | FREDDIE MAC POOL 3.00%    | CUSIP: 3132CWCV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125950 | PA      | $123738.49    | 0.14%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 0.00%  | FREDDIE MAC REMICS 0.00%  | CUSIP: 3137ASD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    250476 | PA      | $191400.36    | 0.21%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252567 | PA      | $257063.08    | 0.28%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3140XKW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234685 | PA      | $235142.07    | 0.26%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD FNDG 5.04% | SYNCHRONY CARD FNDG 5.04% | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77000 | PA      | $77673.67     | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 6.00%     | FANNIE MAE POOL 6.00%     | CUSIP: 3140NM6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60964 | PA      | $62174.88     | 0.07%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE R 5.49% | EXETER AUTOMOBILE R 5.49% | CUSIP: 30167MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $186548.38    | 0.20%             | 2031-05-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| CITADEL LP 6.375%         | CITADEL LP 6.375%         | CUSIP: 17288XAC8<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |    190000 | PA      | $196923.69    | 0.22%             | 2032-01-23      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUT 5.06% | SANTANDER DRIVE AUT 5.06% | CUSIP: 80287NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549000 | PA      | $553745.01    | 0.61%             | 2031-05-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 4.50%    | FREDDIE MAC POOL 4.50%    | CUSIP: 3132DNVK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236294 | PA      | $229996.23    | 0.25%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMARK 2023-V4 VAR         | BMARK 2023-V4 VAR         | CUSIP: 081926AH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352000 | PA      | $362149.74    | 0.40%             | 2056-11-15      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO L 6.30% | FOUNDRY JV HOLDCO L 6.30% | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    225000 | PA      | $234360.32    | 0.26%             | 2039-01-25      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| APOLLO DEBT SOLS. B 5.70% | APOLLO DEBT SOLS. B 5.70% | CUSIP: 03770DAL7<br>LEI: 549300UMUGX092P8DW87 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170717.17    | 0.19%             | 2031-01-23      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| ALPHABET INC 4.80%        | ALPHABET INC 4.80%        | CUSIP: 02079KBM8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    116000 | PA      | $115503.11    | 0.13%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FNDG 4.999% | PK ALIFT LOAN FNDG 4.999% | CUSIP: 72585CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1361785.93   | 1.49%             | 2043-09-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAY 4.15% | BANCO BILBAO VIZCAY 4.15% | CUSIP: 05946KAT8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $395341.55    | 0.43%             | 2029-03-03      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP 6.00%         | ORACLE CORP 6.00%         | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    450000 | PA      | $377272.22    | 0.41%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUT 5.47% | SANTANDER DRIVE AUT 5.47% | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $576526.39    | 0.63%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE 5.25%  | BLACKSTONE PRIVATE 5.25%  | CUSIP: 09261HBS5<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119114.02    | 0.13%             | 2030-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENCORA INC 4.25%         | CENCORA INC 4.25%         | CUSIP: 03073EBB0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107989.90    | 0.12%             | 2030-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 4.50%  | GINNIE MAE II POOL 4.50%  | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234400 | PA      | $227955.12    | 0.25%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL #FS4040 5.0% DU | FNMA POOL #FS4040 5.0% DU | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213969 | PA      | $212596.49    | 0.23%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT 2024-7 MTGE. 5.791%  | COLT 2024-7 MTGE. 5.791%  | CUSIP: 19688YAB0<br>LEI: 213800EA95GXXC9AJO50 | Long             | ABS-O            | CORP              | US        |    222738 | PA      | $223404.09    | 0.24%             | 2069-12-26      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| EXPEDIA GROUP INC 5.4%    | EXPEDIA GROUP INC 5.4%    | CUSIP: 30212PBL8<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    955000 | PA      | $947423.15    | 1.04%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT 5.869%  | FORD MOTOR CREDIT 5.869%  | CUSIP: 345397H89<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    890000 | PA      | $854470.90    | 0.94%             | 2035-10-31      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTGE. ASSET VAR | SANTANDER MTGE. ASSET VAR | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-O            | CORP              | US        |    213349 | PA      | $212742.56    | 0.23%             | 2065-11-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| BROADCOM INC 4.60%        | BROADCOM INC 4.60%        | CUSIP: 11135FDA6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    345000 | PA      | $339745.97    | 0.37%             | 2033-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP 4.125% | AERCAP IRELAND CAP 4.125% | CUSIP: 00774MBT1<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $197294.51    | 0.22%             | 2029-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VERTIV HLDGS. CO 5.80%    | VERTIV HLDGS. CO 5.80%    | CUSIP: 92537NAC2<br>LEI: 549300KTTIRAOGXCRV69 | Long             | DBT              | CORP              | US        |    300000 | PA      | $288372.85    | 0.32%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMER. 3.585%  | CITIGROUP COMMER. 3.585%  | CUSIP: 29429CAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162589 | PA      | $160554.83    | 0.18%             | 2049-04-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP 3.903% | MORGAN STANLEY CAP 3.903% | CUSIP: 61766CAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92364 | PA      | $91715.88     | 0.10%             | 2049-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 3140N9N44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204638 | PA      | $204156.94    | 0.22%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANC 6.50% | MACQUARIE AIRFINANC 6.50% | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     47000 | PA      | $49215.71     | 0.05%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132DQRJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155974 | PA      | $161258.83    | 0.18%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CBRE SERVS. INC 4.90%     | CBRE SERVS. INC 4.90%     | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123265.09    | 0.14%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/PROV F2F | CITIZENS BANK NA/PROV F2F | CUSIP: 75524KSA3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397489.32    | 0.44%             | 2029-01-29      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140QQVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64040 | PA      | $64685.88     | 0.07%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN. U 5.30% | BHP BILLITON FIN. U 5.30% | CUSIP: 055451BL1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    325000 | PA      | $330821.69    | 0.36%             | 2035-02-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SANTANDER NQM1 M1A VAR    | SANTANDER NQM1 M1A VAR    | CUSIP: 80262BAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508000 | PA      | $509992.99    | 0.56%             | 2065-01-25      | Variable      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| EXETER AUTOMOBILE R 5.89% | EXETER AUTOMOBILE R 5.89% | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $182461.30    | 0.20%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GBL. 4.40%  | NEW YORK LIFE GBL. 4.40%  | CUSIP: 64953BBW7<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    440000 | PA      | $441069.76    | 0.48%             | 2028-04-25      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER MTGE. AS 5.351% | SANTANDER MTGE. AS 5.351% | CUSIP: 802932AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $623187.37    | 0.68%             | 2056-01-01      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HLDGS. FNDG. 4.85% | AVOLON HLDGS. FNDG. 4.85% | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    250000 | PA      | $239491.31    | 0.26%             | 2033-04-01      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUT 4.75% | SANTANDER DRIVE AUT 4.75% | CUSIP: 80288FAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890000 | PA      | $876737.84    | 0.96%             | 2032-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KLA CORP 5.65%            | KLA CORP 5.65%            | CUSIP: 482480AF7<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     46000 | PA      | $47855.59     | 0.05%             | 2034-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140XKP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207273 | PA      | $209365.77    | 0.23%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 6.00%     | FANNIE MAE POOL 6.00%     | CUSIP: 3140QUD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155423 | PA      | $159775.44    | 0.17%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE 6.528%      | BOEING CO/THE 6.528%      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $217868.52    | 0.24%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| LPL HLDGS. INC 5.75%      | LPL HLDGS. INC 5.75%      | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139445.97    | 0.15%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTGE. AS 5.369% | SANTANDER MTGE. AS 5.369% | CUSIP: 802650AL5<br>LEI: 254900WEZWXJLYHMU869 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $495634.55    | 0.54%             | 2055-09-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER MTGE. AS 5.219% | SANTANDER MTGE. AS 5.219% | CUSIP: 802650AK7<br>LEI: 254900WEZWXJLYHMU869 | Long             | ABS-O            | CORP              | US        |    730000 | PA      | $723840.26    | 0.79%             | 2055-09-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| STORE CAP. LLC 5.40%      | STORE CAP. LLC 5.40%      | CUSIP: 862123AB2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    230000 | PA      | $231059.17    | 0.25%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL C 5.00% | SAUDI ARABIAN OIL C 5.00% | CUSIP: 80415RAC5<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    340000 | PA      | $326536.65    | 0.36%             | 2036-02-02      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 3140J55X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93404 | PA      | $89926.49     | 0.10%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 4.00%  | GINNIE MAE II POOL 4.00%  | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229719 | PA      | $217615.68    | 0.24%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.00%    | FREDDIE MAC POOL 3.00%    | CUSIP: 3132CWLH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151236 | PA      | $147045.20    | 0.16%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3140XJXN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272302 | PA      | $265869.90    | 0.29%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 31418EUY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135717 | PA      | $138863.30    | 0.15%             | 2043-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INC 7.95% | BLUE OWL CREDIT INC 7.95% | CUSIP: 69120VBB6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    400000 | PA      | $409769.74    | 0.45%             | 2028-06-13      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 3140X7D97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224264 | PA      | $199011.97    | 0.22%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3140XJMM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323130 | PA      | $314513.94    | 0.34%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTGE. TST. 20 VAR | SEQUOIA MTGE. TST. 20 VAR | CUSIP: 81749BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77120 | PA      | $75505.06     | 0.08%             | 2053-01-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ARES CAP. CORP 5.95%      | ARES CAP. CORP 5.95%      | CUSIP: 04010LBG7<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135666.22    | 0.15%             | 2029-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE 5.41%  | HYUNDAI AUTO LEASE 5.41%  | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92576 | PA      | $92787.32     | 0.10%             | 2027-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMER 5.309% | WELLS FARGO COMMER 5.309% | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1122786.06   | 1.23%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| CNH EQUIP. TST. 202 4.03% | CNH EQUIP. TST. 202 4.03% | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $199654.96    | 0.22%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TS 5.11% | TESLA AUTO LEASE TS 5.11% | CUSIP: 881934AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502453.95    | 0.55%             | 2028-08-21      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE 4.86% | WESTLAKE AUTOMOBILE 4.86% | CUSIP: 96043LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100742.82    | 0.11%             | 2030-05-15      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| 321 HENDERSON RECEI 6.15% | 321 HENDERSON RECEI 6.15% | CUSIP: 88576NAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208617 | PA      | $214389.66    | 0.23%             | 2048-10-15      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO F2F   | JPMORGAN CHASE & CO F2F   | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    700000 | PA      | $721466.20    | 0.79%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTGE. TS 6.197% | ANGEL OAK MTGE. TS 6.197% | CUSIP: 034943AA8<br>LEI: 25490046TFINGL6XED11 | Long             | ABS-O            | CORP              | US        |    423001 | PA      | $426052.62    | 0.47%             | 2069-01-25      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE 5.15% | WESTLAKE AUTOMOBILE 5.15% | CUSIP: 96043LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202234.92    | 0.22%             | 2030-11-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER MTGE. AS 5.443% | SANTANDER MTGE. AS 5.443% | CUSIP: 80265DAE3<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-O            | CORP              | US        |    102036 | PA      | $101563.21    | 0.11%             | 2065-11-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3140X6Q38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286169 | PA      | $269737.40    | 0.30%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MTGE. TS 3.75% | TOWD POINT MTGE. TS 3.75% | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60981 | PA      | $58033.32     | 0.06%             | 2062-09-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3140QN3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189541 | PA      | $174677.98    | 0.19%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 5.00%  | GINNIE MAE II POOL 5.00%  | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109428 | PA      | $111107.11    | 0.12%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO F2F      | WELLS FARGO & CO F2F      | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    159000 | PA      | $155192.91    | 0.17%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 4.00%    | FREDDIE MAC POOL 4.00%    | CUSIP: 3132E0N65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162330 | PA      | $153941.99    | 0.17%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140QQL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111030 | PA      | $112256.89    | 0.12%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OW 4.96% | FORD CREDIT AUTO OW 4.96% | CUSIP: 34531QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $151993.92    | 0.17%             | 2030-05-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FI 5.875% | IMPERIAL BRANDS FI 5.875% | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     80000 | PA      | $82282.50     | 0.09%             | 2034-07-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL F2F   | SYNCHRONY FINANCIAL F2F   | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121925.38    | 0.13%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC 4.80%        | BROADCOM INC 4.80%        | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59091.41     | 0.06%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.00%    | FREDDIE MAC POOL 3.00%    | CUSIP: 3133LPSP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25548 | PA      | $25089.59     | 0.03%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 31418DUL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76451 | PA      | $73409.36     | 0.08%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KBC GRP. NV F2V           | KBC GRP. NV F2V           | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    200000 | PA      | $204390.52    | 0.22%             | 2029-01-19      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FIVE 2023-V1 MTGE. TR VAR | FIVE 2023-V1 MTGE. TR VAR | CUSIP: 337964AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $264264.73    | 0.29%             | 2056-02-10      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVAB 4.50% | DRIVE AUTO RECEIVAB 4.50% | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1425847 | PA      | $1426515.10   | 1.56%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUS 7.299% | OBX 2023-NQM7 TRUS 7.299% | CUSIP: 67117XAC0<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-O            | CORP              | US        |     48765 | PA      | $49006.15     | 0.05%             | 2063-04-25      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIV 5.48% | CARVANA AUTO RECEIV 5.48% | CUSIP: 14688YAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $407503.00    | 0.45%             | 2031-11-10      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 3140XTAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212288 | PA      | $190090.28    | 0.21%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 3140XKB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237792 | PA      | $236813.52    | 0.26%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE VAR  | J.P. MORGAN MORTGAGE VAR  | CUSIP: 465978AH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169184 | PA      | $165642.13    | 0.18%             | 2053-06-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MTGE. TST 4.75% | ANGEL OAK MTGE. TST 4.75% | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201859 | PA      | $201262.77    | 0.22%             | 2067-09-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST 6.03% | OBX 2024-NQM9 TRUST 6.03% | CUSIP: 67119DAA6<br>LEI: 2549004KB8X0K1PPTU08 | Long             | ABS-O            | CORP              | US        |    178536 | PA      | $179833.72    | 0.20%             | 2064-01-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| COMM 2024-277P MTGE. VAR  | COMM 2024-277P MTGE. VAR  | CUSIP: 12654FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $846920.80    | 0.93%             | 2044-08-10      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| JOHN DEERE OWNER TS 4.06% | JOHN DEERE OWNER TS 4.06% | CUSIP: 477911AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $610031.72    | 0.67%             | 2029-06-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLE 4.44% | SFS AUTO RECEIVABLE 4.44% | CUSIP: 78398HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $190558.98    | 0.21%             | 2030-12-20      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3133KQ2M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217084 | PA      | $220346.72    | 0.24%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OW 5.23% | FORD CREDIT AUTO OW 5.23% | CUSIP: 344930AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54663 | PA      | $54905.25     | 0.06%             | 2028-05-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DQQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231906 | PA      | $234643.39    | 0.26%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR2 VAR       | BANK5 2023-5YR2 VAR       | CUSIP: 06211CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $217988.04    | 0.24%             | 2056-07-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132DQ3Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139117 | PA      | $144083.84    | 0.16%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAG 6.52% | RESEARCH-DRIVEN PAG 6.52% | CUSIP: 76100KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653000 | PA      | $646259.34    | 0.71%             | 2035-01-25      | None          | 6.52%                 | Yes           |                  2 | On Loan: No      |
| NIPPON LIFE INS. C 5.046% | NIPPON LIFE INS. C 5.046% | CUSIP: 654579AR2<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $300367.83    | 0.33%             | 2033-04-02      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| OMEGA HEALTHCARE I 3.375% | OMEGA HEALTHCARE I 3.375% | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16636.03     | 0.02%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132DP6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65252 | PA      | $67409.26     | 0.07%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V3 MTG VAR | BENCHMARK 2023-V3 MTG VAR | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $268921.35    | 0.29%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DQG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221981 | PA      | $225142.89    | 0.25%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY F2F        | MORGAN STANLEY F2F        | CUSIP: 61747YGC3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $597215.97    | 0.65%             | 2047-03-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5.00%  | FREDDIE MAC REMICS 5.00%  | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    123898 | PA      | $125409.48    | 0.14%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DQKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236443 | PA      | $239718.80    | 0.26%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.00%    | FREDDIE MAC POOL 5.00%    | CUSIP: 3132DQPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179106 | PA      | $177439.12    | 0.19%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115487 | PA      | $116289.13    | 0.13%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP F2F  | BANK OF AMERICA CORP F2F  | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    165000 | PA      | $170212.21    | 0.19%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 2.50%    | FREDDIE MAC POOL 2.50%    | CUSIP: 3132ADPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295505 | PA      | $285409.61    | 0.31%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DQPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239687 | PA      | $243714.08    | 0.27%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140XLE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148071 | PA      | $149345.35    | 0.16%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HONEYWELL AEROSPAC 5.732% | HONEYWELL AEROSPAC 5.732% | CUSIP: 43849RAJ4<br>LEI: 213800ZUAQRBYL67JS90 | Long             | DBT              | CORP              | US        |    925000 | PA      | $914317.15    | 1.00%             | 2056-03-16      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER MTGE. ASSET VAR | SANTANDER MTGE. ASSET VAR | CUSIP: 802929AH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139000 | PA      | $137613.00    | 0.15%             | 2066-02-25      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| APOLLO GBL. MGT. IN 5.70% | APOLLO GBL. MGT. IN 5.70% | CUSIP: 03769MAG1<br>LEI: 254900LMFT1CY9IYB476 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300266.34    | 0.33%             | 2036-03-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185715 | PA      | $174145.67    | 0.19%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.50%    | FREDDIE MAC POOL 3.50%    | CUSIP: 3131XBJA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28089 | PA      | $27891.62     | 0.03%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC F2F         | CITIGROUP INC F2F         | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     58000 | PA      | $57337.02     | 0.06%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRAN 2.875% | CONSTELLATION BRAN 2.875% | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17779.08     | 0.02%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 6.50%     | FANNIE MAE POOL 6.50%     | CUSIP: 3140XLDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94530 | PA      | $99837.68     | 0.11%             | 2040-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOHAWK INDS. INC 5.85%    | MOHAWK INDS. INC 5.85%    | CUSIP: 608190AM6<br>LEI: 549300JI1115MG3Q6322 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2057.63      | 0.00%             | 2028-09-18      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC 4.90%      | SALESFORCE INC 4.90%      | CUSIP: 79466LAS3<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798866.96    | 0.87%             | 2031-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP 3.50%         | AMEREN CORP 3.50%         | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     43000 | PA      | $40803.87     | 0.04%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC 5.75%     | ROLLS-ROYCE PLC 5.75%     | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $71097.30     | 0.08%             | 2027-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FINANCE OF AMERICA 2.00%  | FINANCE OF AMERICA 2.00%  | CUSIP: 31739TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246858 | PA      | $247943.35    | 0.27%             | 2073-04-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 3140XLFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237993 | PA      | $236556.09    | 0.26%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 5.80%      | AMAZON.COM INC 5.80%      | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    290000 | PA      | $289766.95    | 0.32%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON 3.35% | CONSOLIDATED EDISON 3.35% | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1918.48      | 0.00%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215884 | PA      | $185174.78    | 0.20%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOTHEBY S ARTFI MAS 4.90% | SOTHEBY S ARTFI MAS 4.90% | CUSIP: 83589DAC0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | ABS-O            | CORP              | US        |    204000 | PA      | $203547.12    | 0.22%             | 2033-06-20      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3138WJQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139404 | PA      | $137358.60    | 0.15%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316629 | PA      | $303243.63    | 0.33%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DP5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243462 | PA      | $246674.59    | 0.27%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 3.875% | UNITED STATES TSY. 3.875% | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4418000 | PA      | $4423177.37   | 4.84%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVSTR. LL 6.581% | BEIGNET INVSTR. LL 6.581% | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $179927.33    | 0.20%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC GOLD PO 3.00% | FREDDIE MAC GOLD PO 3.00% | CUSIP: 3132J65C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253996 | PA      | $233015.77    | 0.26%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3138EQKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154315 | PA      | $146830.62    | 0.16%             | 2040-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160924 | PA      | $154121.81    | 0.17%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 0.00%  | UNITED STATES TSY. 0.00%  | CUSIP: 912803FV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7762100 | PA      | $2207557.07   | 2.42%             | 2051-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL 5.00%   | GINNIE MAE I POOL 5.00%   | CUSIP: 3622ACCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208857 | PA      | $213206.62    | 0.23%             | 2040-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132DQTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205440 | PA      | $212279.11    | 0.23%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 3.875% | UNITED STATES TSY. 3.875% | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    118000 | PA      | $118073.75    | 0.13%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 3.875% | UNITED STATES TSY. 3.875% | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5436000 | PA      | $5427718.58   | 5.94%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JGWPT XXX LLC 4.08%       | JGWPT XXX LLC 4.08%       | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297235 | PA      | $283117.76    | 0.31%             | 2073-01-17      | Fixed         | 4.08%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 3140JAUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34001 | PA      | $34249.95     | 0.04%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRU 2.75% | SEASONED LOANS STRU 2.75% | CUSIP: 35564CCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    239020 | PA      | $229069.64    | 0.25%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL. 1.75% | PHILIP MORRIS INTL. 1.75% | CUSIP: 718172CS6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     52000 | PA      | $46045.07     | 0.05%             | 2030-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NI US GOV T PORTFOLIO     | NI US GOV T PORTFOLIO     | CUSIP: 665278404<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |   1037414 | NS      | $1037414.49   | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HARLEY-DAVIDSON MOT 5.37% | HARLEY-DAVIDSON MOT 5.37% | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77112 | PA      | $77848.78     | 0.09%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| TARGA RES. CORP 4.95%     | TARGA RES. CORP 4.95%     | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    250000 | PA      | $208998.95    | 0.23%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MTGE. TST VAR | J.P. MORGAN MTGE. TST VAR | CUSIP: 46655NAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251863 | PA      | $218988.89    | 0.24%             | 2052-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC F2V          | BARCLAYS PLC F2V          | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $202287.41    | 0.22%             | 2028-08-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER COMMER. 5.3078% | SANTANDER COMMER. 5.3078% | CUSIP: 78398LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $301164.03    | 0.33%             | 2028-04-15      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL 4.00%  | GINNIE MAE II POOL 4.00%  | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56905 | PA      | $54679.60     | 0.06%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PA 5.228% | RESEARCH-DRIVEN PA 5.228% | CUSIP: 76089KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $300269.52    | 0.33%             | 2034-06-26      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER MTGE. AS 5.473% | SANTANDER MTGE. AS 5.473% | CUSIP: 80262CAE8<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-O            | CORP              | US        |    136597 | PA      | $136056.54    | 0.15%             | 2065-08-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC SEASONE 2.00% | FREDDIE MAC SEASONE 2.00% | CUSIP: 35563PVZ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    329111 | PA      | $299102.98    | 0.33%             | 2060-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PA 5.093% | RESEARCH-DRIVEN PA 5.093% | CUSIP: 76100JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $698002.41    | 0.76%             | 2034-08-25      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER BANK AUT 5.151% | SANTANDER BANK AUT 5.151% | CUSIP: 80290CCT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $269684.61    | 0.30%             | 2034-01-16      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| UNITED STATES TSY. 4.00%  | UNITED STATES TSY. 4.00%  | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7799000 | PA      | $7607680.78   | 8.33%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUS 6.844% | OBX 2023-NQM7 TRUS 6.844% | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-O            | CORP              | US        |    229685 | PA      | $230770.21    | 0.25%             | 2063-04-25      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| BPR TST. 2023-BRK2 VAR    | BPR TST. 2023-BRK2 VAR    | CUSIP: 05610WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $122759.47    | 0.13%             | 2038-10-05      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMER 2.931% | WELLS FARGO COMMER 2.931% | CUSIP: 95000FAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90000 | PA      | $89659.79     | 0.10%             | 2048-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MGRS. GR 5.50% | AFFILIATED MGRS. GR 5.50% | CUSIP: 008252AS7<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    235000 | PA      | $231636.34    | 0.25%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERG 3.90% | CONSTELLATION ENERG 3.90% | CUSIP: 210385AP5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188472.09    | 0.21%             | 2028-01-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 3140H1XQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100894 | PA      | $96660.50     | 0.11%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.00%    | FREDDIE MAC POOL 3.00%    | CUSIP: 3131XY4R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176020 | PA      | $158015.29    | 0.17%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MT VAR | CHASE HOME LENDING MT VAR | CUSIP: 16159PAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    336149 | PA      | $330915.44    | 0.36%             | 2054-06-25      | Variable      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| TRACTOR SUPPLY CO 1.75%   | TRACTOR SUPPLY CO 1.75%   | CUSIP: 892356AA4<br>LEI: 549300OJ9VZHZRO6I137 | Long             | DBT              | CORP              | US        |     23000 | PA      | $20274.96     | 0.02%             | 2030-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 4.00%  | GINNIE MAE II POOL 4.00%  | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320931 | PA      | $308580.63    | 0.34%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD PO 7.00% | FREDDIE MAC GOLD PO 7.00% | CUSIP: 3128M9U67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101303 | PA      | $109941.97    | 0.12%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC A 2.40% | VIRGINIA ELECTRIC A 2.40% | CUSIP: 927804GG3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     42000 | PA      | $37030.36     | 0.04%             | 2032-03-30      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 31418MH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127264 | PA      | $129733.66    | 0.14%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 3138EMVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72402 | PA      | $71391.79     | 0.08%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.G. WENTWORTH XLI 3.74%  | J.G. WENTWORTH XLI 3.74%  | CUSIP: 46651TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561346 | PA      | $505824.28    | 0.55%             | 2072-10-17      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 31418NA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75185 | PA      | $75985.85     | 0.08%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.00%     | FANNIE MAE POOL 4.00%     | CUSIP: 3140X56H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84060 | PA      | $80800.35     | 0.09%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 3140X4NV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357738 | PA      | $323722.36    | 0.35%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADRIDGE FINL. SO 2.90% | BROADRIDGE FINL. SO 2.90% | CUSIP: 11133TAD5<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |     42000 | PA      | $39285.02     | 0.04%             | 2029-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK37 VAR       | BANK 2021-BNK37 VAR       | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $222454.65    | 0.24%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236032 | PA      | $203087.28    | 0.22%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 4.625% | UNITED STATES TSY. 4.625% | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2803000 | PA      | $2703581.09   | 2.96%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 31417BYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130277 | PA      | $126522.07    | 0.14%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL #MA1287 4.5% 09 | GNMA POOL #MA1287 4.5% 09 | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55678 | PA      | $55042.25     | 0.06%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRES 3.40% | DUKE ENERGY PROGRES 3.40% | CUSIP: 26442UAN4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     64000 | PA      | $59821.83     | 0.07%             | 2032-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE T VAR | TOWD POINT MORTGAGE T VAR | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528144 | PA      | $500479.60    | 0.55%             | 2062-07-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC NON GOLD FRN  | FREDDIE MAC NON GOLD FRN  | CUSIP: 3128QSRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7808 | PA      | $8019.40      | 0.01%             | 2037-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.00%    | FREDDIE MAC POOL 5.00%    | CUSIP: 3133BRD68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236244 | PA      | $234096.02    | 0.26%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TSY. 4.625% | UNITED STATES TSY. 4.625% | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2972000 | PA      | $2839653.13   | 3.11%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC NON GOLD FRN  | FREDDIE MAC NON GOLD FRN  | CUSIP: 3128JN2H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3294 | PA      | $3385.18      | 0.00%             | 2037-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL 3.50%   | GINNIE MAE I POOL 3.50%   | CUSIP: 36230RYJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201521 | PA      | $189117.45    | 0.21%             | 2040-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRA 6.259% | PAGAYA AI DEBT GRA 6.259% | CUSIP: 69548TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249269 | PA      | $250195.05    | 0.27%             | 2032-02-16      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 31418CFE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232135 | PA      | $215911.67    | 0.24%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JGWPT XXVII LLC 3.22%     | JGWPT XXVII LLC 3.22%     | CUSIP: 46617AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202101 | PA      | $183674.34    | 0.20%             | 2065-09-15      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL 3.00%  | GINNIE MAE II POOL 3.00%  | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114103 | PA      | $104549.28    | 0.11%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES VAR       | FANNIE MAE-ACES VAR       | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    640400 | PA      | $622494.57    | 0.68%             | 2043-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD PO 4.50% | FREDDIE MAC GOLD PO 4.50% | CUSIP: 3132VQCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54351 | PA      | $53360.45     | 0.06%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN GTD | FEDERAL NATL MTG ASSN GTD | CUSIP: 3138ENWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330903 | PA      | $327584.92    | 0.36%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRES 5.25% | DUKE ENERGY PROGRES 5.25% | CUSIP: 26442UAQ7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     98000 | PA      | $100880.30    | 0.11%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.50%    | FREDDIE MAC POOL 6.50%    | CUSIP: 3132E0PL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183803 | PA      | $193365.34    | 0.21%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO F2F      | WELLS FARGO & CO F2F      | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304702.55    | 0.33%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59141 | PA      | $57971.47     | 0.06%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC F2F         | CITIGROUP INC F2F         | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    131000 | PA      | $129050.73    | 0.14%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC 4.35%     | TYSON FOODS INC 4.35%     | CUSIP: 902494BK8<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46847.20     | 0.05%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.00%     | FANNIE MAE POOL 5.00%     | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50775 | PA      | $50982.41     | 0.06%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE. TS 5.234% | JP MORGAN MTGE. TS 5.234% | CUSIP: 46664DAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239125 | PA      | $237122.34    | 0.26%             | 2065-05-25      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3138WDBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96849 | PA      | $95547.58     | 0.10%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 6.00%    | FREDDIE MAC POOL 6.00%    | CUSIP: 3132E0E99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162650 | PA      | $165799.63    | 0.18%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 3.50%  | GINNIE MAE II POOL 3.50%  | CUSIP: 3622AAGJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220478 | PA      | $203805.64    | 0.22%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141948 | PA      | $121799.05    | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5.50%  | FREDDIE MAC REMICS 5.50%  | CUSIP: 3137HBTY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    113194 | PA      | $114452.62    | 0.13%             | 2051-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FASHION SHOW MALL LLC VAR | FASHION SHOW MALL LLC VAR | CUSIP: 50245XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $137076.17    | 0.15%             | 2041-10-10      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| MSRW 2025-CC PAS 5.89372% | MSRW 2025-CC PAS 5.89372% | CUSIP: 55361BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591179 | PA      | $585116.28    | 0.64%             | 2030-08-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC F2F          | BARCLAYS PLC F2F          | CUSIP: 06738EDE2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     30000 | PA      | $29459.41     | 0.03%             | 2046-08-11      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 31418MRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72477 | PA      | $73796.54     | 0.08%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLS. INC 2.30%  | MOTOROLA SOLS. INC 2.30%  | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17125.70     | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 2.00%    | FREDDIE MAC POOL 2.00%    | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378037 | PA      | $348766.79    | 0.38%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3140X77D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178778 | PA      | $173642.80    | 0.19%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 5.0%           | FANNIE MAE 5.0%           | CUSIP: 3140X8ZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112124 | PA      | $113231.91    | 0.12%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CO 2.25% | GENERAL DYNAMICS CO 2.25% | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    105000 | PA      | $94513.97     | 0.10%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC 1.80%          | VMWARE LLC 1.80%          | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     42000 | PA      | $39547.50     | 0.04%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140XKX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145360 | PA      | $148032.71    | 0.16%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 2.50%    | FREDDIE MAC POOL 2.50%    | CUSIP: 3132CW4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152076 | PA      | $145570.65    | 0.16%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 6.00%     | FANNIE MAE POOL 6.00%     | CUSIP: 3140XMBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218021 | PA      | $225910.42    | 0.25%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132E0XN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194708 | PA      | $197634.00    | 0.22%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CNH EQUIP. TST. 202 4.77% | CNH EQUIP. TST. 202 4.77% | CUSIP: 18978FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66260 | PA      | $66702.76     | 0.07%             | 2029-06-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 7.00%     | FANNIE MAE POOL 7.00%     | CUSIP: 3140XNT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51496 | PA      | $54076.11     | 0.06%             | 2040-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTGE. ASS 5.76% | SANTANDER MTGE. ASS 5.76% | CUSIP: 80263BAE9<br>LEI: 254900P9WEZD48ETI035 | Long             | ABS-O            | CORP              | US        |    418167 | PA      | $418417.24    | 0.46%             | 2065-07-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC SERV. CO OF 5.15%  | PUBLIC SERV. CO OF 5.15%  | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134555.59    | 0.15%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC 5.55%    | CARLISLE COS INC 5.55%    | CUSIP: 142339AM2<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79290.41     | 0.09%             | 2040-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MAD COMMER. MTGE. TST VAR | MAD COMMER. MTGE. TST VAR | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $130789.19    | 0.14%             | 2042-10-15      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL 5.5%  | GOVERNMENT NATIONAL 5.5%  | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       842 | PA      | $858.41       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 4.00%  | GINNIE MAE II POOL 4.00%  | CUSIP: 36179RBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43376 | PA      | $41639.76     | 0.05%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD PO 3.50% | FREDDIE MAC GOLD PO 3.50% | CUSIP: 3128MFKH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40446 | PA      | $39847.31     | 0.04%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL. MT 2.50% | GOVERNMENT NATL. MT 2.50% | CUSIP: 38380FMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    142329 | PA      | $132861.71    | 0.15%             | 2046-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP 2.375% | UNION PACIFIC CORP 2.375% | CUSIP: 907818FU7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       500 | PA      | $453.11       | 0.00%             | 2031-05-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MELLO MTGE. CAP. ACCE VAR | MELLO MTGE. CAP. ACCE VAR | CUSIP: 585494AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246772 | PA      | $205292.86    | 0.22%             | 2051-06-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3132DPTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219065 | PA      | $223736.08    | 0.25%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 6.50%     | FANNIE MAE POOL 6.50%     | CUSIP: 3140XMTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144400 | PA      | $151668.65    | 0.17%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 4.50%     | FANNIE MAE POOL 4.50%     | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173962 | PA      | $170926.26    | 0.19%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3140X6RX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50528 | PA      | $49886.59     | 0.05%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.00%    | FREDDIE MAC POOL 5.00%    | CUSIP: 3132DQG75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244577 | PA      | $243087.88    | 0.27%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.00%    | FREDDIE MAC POOL 5.00%    | CUSIP: 3133KPQ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216490 | PA      | $216246.24    | 0.24%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA F2V   | SOCIETE GENERALE SA F2V   | CUSIP: 83368RBY7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     69000 | PA      | $70153.92     | 0.08%             | 2055-01-19      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| OBX 2024-NQM2 TRUS 5.878% | OBX 2024-NQM2 TRUS 5.878% | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-O            | CORP              | US        |    122212 | PA      | $122620.39    | 0.13%             | 2063-12-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CVS HEALTH CORP 5.45%     | CVS HEALTH CORP 5.45%     | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200777.69    | 0.22%             | 2035-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 31410KLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71532 | PA      | $72956.32     | 0.08%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3140X4T63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15602 | PA      | $15302.28     | 0.02%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 3.00%    | FREDDIE MAC POOL 3.00%    | CUSIP: 3132CWGZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47289 | PA      | $46144.50     | 0.05%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP 2.65%  | ESSEX PORTFOLIO LP 2.65%  | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     41000 | PA      | $36045.15     | 0.04%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPS. LP 2.55%    | BOSTON PROPS. LP 2.55%    | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     19000 | PA      | $16304.29     | 0.02%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3133BV5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286884 | PA      | $289137.76    | 0.32%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP. FIN. TS 5.93% | DELL EQUIP. FIN. TS 5.93% | CUSIP: 24702EAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27621 | PA      | $27703.29     | 0.03%             | 2029-04-23      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FREDDIE MAC GOLD PO 3.50% | FREDDIE MAC GOLD PO 3.50% | CUSIP: 3132J4HC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41519 | PA      | $40331.42     | 0.04%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140X9YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260375 | PA      | $224203.66    | 0.25%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GRP. PLC F2V      | NATWEST GRP. PLC F2V      | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $207565.55    | 0.23%             | 2034-06-01      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| VULCAN MATS. CO 5.35%     | VULCAN MATS. CO 5.35%     | CUSIP: 929160BC2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253983.68    | 0.28%             | 2034-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TST 5.688% | PAGAYA AI DEBT TST 5.688% | CUSIP: 69547DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279990 | PA      | $281189.53    | 0.31%             | 2033-01-17      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORP 4.45%         | ORACLE CORP 4.45%         | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    430000 | PA      | $414382.99    | 0.45%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL 5.5%  | GOVERNMENT NATIONAL 5.5%  | CUSIP: 36291N4L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1863 | PA      | $1900.70      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 3.5%           | FANNIE MAE 3.5%           | CUSIP: 31418BPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127186 | PA      | $123450.92    | 0.14%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUBBELL INC 2.30%         | HUBBELL INC 2.30%         | CUSIP: 443510AK8<br>LEI: 54930088VDQ6840Y6597 | Long             | DBT              | CORP              | US        |     80000 | PA      | $72538.76     | 0.08%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140XCDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234250 | PA      | $200990.33    | 0.22%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 3140QQLY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215113 | PA      | $217697.83    | 0.24%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP 5.45%          | PACIFICORP 5.45%          | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104607.44    | 0.11%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TS 4.96% | JOHN DEERE OWNER TS 4.96% | CUSIP: 47800RAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134587 | PA      | $135371.65    | 0.15%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FNDG. MTGE. VAR | PROVIDENT FNDG. MTGE. VAR | CUSIP: 74389BAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601661 | PA      | $597064.01    | 0.65%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER UK GRP. HLD F2F | SANTANDER UK GRP. HLD F2F | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198124.06    | 0.22%             | 2029-09-22      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY 1.65%  | BERKSHIRE HATHAWAY 1.65%  | CUSIP: 084659BD2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     55000 | PA      | $47705.16     | 0.05%             | 2031-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AMERISOURCEBERGEN C 2.70% | AMERISOURCEBERGEN C 2.70% | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    122000 | PA      | $111256.12    | 0.12%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3140XJXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275564 | PA      | $237462.09    | 0.26%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.00%    | FREDDIE MAC POOL 5.00%    | CUSIP: 3132DQB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234415 | PA      | $233271.29    | 0.26%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL 5.50%  | GINNIE MAE II POOL 5.50%  | CUSIP: 3622ACSK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203669 | PA      | $206407.44    | 0.23%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL 5.50%    | FREDDIE MAC POOL 5.50%    | CUSIP: 3133KR4Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227447 | PA      | $231391.80    | 0.25%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVAB 5.31% | DRIVE AUTO RECEIVAB 5.31% | CUSIP: 26208WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192150 | PA      | $192716.64    | 0.21%             | 2029-01-16      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE 5.95%  | BLACKSTONE PRIVATE 5.95%  | CUSIP: 09261HBN6<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    135000 | PA      | $133005.08    | 0.15%             | 2029-07-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SOTHEBY S ARTFI MAS 5.00% | SOTHEBY S ARTFI MAS 5.00% | CUSIP: 83589DAD8<br>LEI: 549300P5BAAMQQ7VL735 | Long             | ABS-O            | CORP              | US        |    169000 | PA      | $168661.12    | 0.18%             | 2033-06-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 2.50%     | FANNIE MAE POOL 2.50%     | CUSIP: 3138WG2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49996 | PA      | $48237.81     | 0.05%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 5.50%     | FANNIE MAE POOL 5.50%     | CUSIP: 31416CGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71056 | PA      | $72465.04     | 0.08%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC F2V     | NATWEST GROUP PLC F2V     | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $245983.79    | 0.27%             | 2028-05-22      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB 1.85% | COCA-COLA FEMSA SAB 1.85% | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |     55000 | PA      | $45884.43     | 0.05%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TST. 2024-IN VAR | PMT LOAN TST. 2024-IN VAR | CUSIP: 73015BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401775 | PA      | $406546.44    | 0.45%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| MSRW 2025-CC PAS 6.65052% | MSRW 2025-CC PAS 6.65052% | CUSIP: 55361BAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $296552.10    | 0.32%             | 2030-08-15      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| BLOCK FINL. LLC 5.375%    | BLOCK FINL. LLC 5.375%    | CUSIP: 093662AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $388199.06    | 0.43%             | 2032-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HLDGS. INC F2V     | NOMURA HLDGS. INC F2V     | CUSIP: 65535HCE7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    450000 | PA      | $436524.04    | 0.48%             | 2036-06-10      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| HCA INC 4.90%             | HCA INC 4.90%             | CUSIP: 404119DF3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     95000 | PA      | $91846.94     | 0.10%             | 2035-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2016- 2.835% | HUDSON YARDS 2016- 2.835% | CUSIP: 44421LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $277864.24    | 0.30%             | 2038-08-10      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.50%     | FANNIE MAE POOL 3.50%     | CUSIP: 3138WGPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240736 | PA      | $226117.33    | 0.25%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL 3.00%     | FANNIE MAE POOL 3.00%     | CUSIP: 3138ETH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191045 | PA      | $174842.67    | 0.19%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK 3.72% | MORGAN STANLEY BANK 3.72% | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80000 | PA      | $79537.46     | 0.09%             | 2049-12-15      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CBOT                      | FUT. CBT UL T-BONDS JUN26 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-1515312.50  | -1.66%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOT                      | FUT. CBT ULT TNOTE JUN26  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $-5675780.00  | -6.22%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOT                      | FUT. U.S. T-BONDS JUN26   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        42 | NC      | $4782750.00   | 5.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOT                      | FUT. US 2YR T-NOTE JUN26  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        18 | NC      | $3734017.20   | 4.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOT                      | FUT. YR T NOTE JUN26      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        35 | NC      | $3786289.50   | 4.15%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** Northern Funds

**Signature:** Randal E. Rein

**Name of Signer:** Randal E. Rein

**Title:** Treasurer and Principal Financial Officer