# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001145549-23-013573
**Filing Date:** 2023-2
**Character Count:** 244160
**Document Hash:** 723edc93f04769fe986deae883d89e11
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013573.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-013573

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691
- **IRS NUMBER:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 23683310

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/WMC BALANCED FUND (Series ID: S000001744)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000004651 | JNL/WMC BALANCED FUND (A) |  |
| C000067982 | JNL/WMC BALANCED FUND (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/WMC Balanced Fund

- **b. EDGAR series identifier (if any):** S000001744

- **c. LEI of Series:** RYL8JLXZ5W4W31LUBY59

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $9110245148.02

**Total Liabilities:** $547874909.22

**Net Assets:** $8562370238.80

**Delayed Delivery Securities:** $496804232.47

**Cash Not Reported:** $1602473.48

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1897.906032659650 | **1-Year:** -28740.473211339803 | **5-Year:** -96760.545605715303 | **10-Year:** -266718.544356397071 | **30-Year:** -534191.277601013868

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

- **3-Month:** 0.000000000000 | **1-Year:** -1786.896349425742 | **5-Year:** -2284.318224648258 | **10-Year:** -0.101479521203 | **30-Year:** -0.374327862297

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000004651 | 4.66%                | 5.47%                | -3.07%               |
| Class ID C000067982 | 4.67%                | 5.53%                | -3.06%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15814513.37            | $387114335.90                              |
| Month 2  | $13308118.99             | $433811160.10                              |
| Month 3  | $44153317.59             | $-328047342.22                             |

**Designated Index Information**

- **Index Name:** 65% S&P 500 Index, 35% Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** SPX/LHMN0001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Jackson National Asset Management, LLC                            | JNL Securities Lending Collateral Fund                            | CUSIP: 46628D411<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  34649592 | NS      | $34649592.40  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital Inc.                                             | BRITISH POUND STERLING                                            | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DFE              | CORP              | GB        |    478774 | PA      | $1503.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | FUTURE - PHYSICALLY DELIVERED                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -202 | NC      | $162683.26    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | FUTURE - PHYSICALLY DELIVERED                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       392 | NC      | $90611.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | FUTURE - PHYSICALLY DELIVERED                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        22 | NC      | $-8564.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | FUTURE - PHYSICALLY DELIVERED                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -62 | NC      | $40138.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II                                                     | Ginnie Mae II                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8325000 | PA      | $8077925.66   | 0.09%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Coupang, Inc.                                                     | Coupang, Inc.                                                     | CUSIP: 22266T109<br>LEI: 549300XR4L1D80AK4W76 | Long             | EC               | CORP              | US        |   1402111 | NS      | $20625052.81  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12788885 | PA      | $11342385.23  | 0.13%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6022586 | PA      | $5160270.75   | 0.06%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133KMFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16766147 | PA      | $14349846.75  | 0.17%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corporation                                         | Alcon Finance Corporation                                         | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1440508.19   | 0.02%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31417M2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8596 | PA      | $8517.18      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31417QK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17954 | PA      | $17783.83     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31417YW78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19881 | PA      | $19395.26     | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    297054 | PA      | $278084.76    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-9INV                                 | Flagstar Mortgage Trust 2021-9INV                                 | CUSIP: 33851MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3413841 | PA      | $2827607.96   | 0.03%             | 2036-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Sigma Alimentos, S.A. de C.V.                                     | Sigma Alimentos, S.A. de C.V.                                     | CUSIP: 82655AAC7<br>LEI: 549300FW3RGHPHT21D10 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2485202.57   | 0.03%             | 2026-05-02      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2021-A                               | Ford Credit Auto Lease Trust 2021-A                               | CUSIP: 34532QAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2910000 | PA      | $2847387.86   | 0.03%             | 2023-07-15      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295B5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8331 | PA      | $8699.69      | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                | Southern California Edison Company                                | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  11855000 | PA      | $12553401.29  | 0.15%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                   | UnitedHealth Group Incorporated                                   | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3005000 | PA      | $2860348.62   | 0.03%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295KHD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18025 | PA      | $18823.05     | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295KVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57035 | PA      | $59484.93     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295RM39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326193 | PA      | $341031.23    | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296AQH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93876 | PA      | $98094.88     | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                           | Hyundai Capital America                                           | CUSIP: 44891ABU0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7830000 | PA      | $7736029.04   | 0.09%             | 2023-04-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    875000 | PA      | $669782.96    | 0.01%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                         | AT&T Inc.                                                         | CUSIP: 00206RBH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    835000 | PA      | $689686.45    | 0.01%             | 2042-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Maps 2019-1 Limited                                               | Maps 2019-1 Limited                                               | CUSIP: 55283LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    297499 | PA      | $267082.25    | 0.00%             | 2026-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                             | Microsoft Corporation                                             | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |   1509097 | NS      | $361911642.50 | 4.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                    | Morgan Stanley                                                    | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    856284 | NS      | $72801265.68  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc.                                                       | Pfizer Inc.                                                       | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   2386501 | NS      | $122284311.20 | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc.                                                         | AT&T Inc.                                                         | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    344000 | PA      | $244021.08    | 0.00%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                 | Capital One Financial Corporation                                 | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1208050.52   | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Company                                 | Pioneer Natural Resources Company                                 | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |     85739 | NS      | $19581930.21  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| The Procter & Gamble Company                                      | The Procter & Gamble Company                                      | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |    798732 | NS      | $121055821.90 | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Raytheon Technologies Corporation                                 | Raytheon Technologies Corporation                                 | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |    885968 | NS      | $89411890.56  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties Inc.                                              | VICI Properties Inc.                                              | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |    713594 | NS      | $23120445.60  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| The Cleveland Electric Illuminating Company                       | The Cleveland Electric Illuminating Company                       | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9400000 | PA      | $8557346.40   | 0.10%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                | CNO Global Funding                                                | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  11400000 | PA      | $9660654.92   | 0.11%             | 2029-01-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                               | Comcast Corporation                                               | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    165000 | PA      | $172906.11    | 0.00%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3125000 | PA      | $2938467.19   | 0.03%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                                         | Shell PLC                                                         | CUSIP: N/A<br>LEI: 21380068P1DRHMJ8KU70       | Long             | EC               | CORP              | GB        |   3690029 | NS      | $104791946.20 | 1.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FBL32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    524019 | PA      | $491212.10    | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FL6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    736333 | PA      | $669675.18    | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XFU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16243250 | PA      | $13397843.91  | 0.16%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31412PXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21215 | PA      | $21013.55     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                      | Fidelity National Information Services, Inc.                      | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    333517 | NS      | $22629128.45  | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3                                    | Flagstar Mortgage Trust 2018-3                                    | CUSIP: 33851JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656912 | PA      | $1507155.12   | 0.02%             | 2038-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36294SG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111132 | PA      | $115844.15    | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Insurance Company                                  | Liberty Mutual Insurance Company                                  | CUSIP: 53079QAC1<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    475000 | PA      | $505389.65    | 0.01%             | 2026-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR Mortgage Trust                                      | LIFE 2021-BMR Mortgage Trust                                      | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435136 | PA      | $1389903.36   | 0.02%             | 2023-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Mach 1 Cayman Limited                                             | Mach 1 Cayman Limited                                             | CUSIP: 55446MAA5<br>LEI: 549300ODEK8HY3445C77 | Long             | ABS-CBDO         | CORP              | KY        |    713140 | PA      | $579812.52    | 0.01%             | 2026-08-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Incorporated                                    | Texas Instruments Incorporated                                    | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |    689348 | NS      | $113894076.60 | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52793000 | PA      | $52496039.38  | 0.61%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26750000 | PA      | $23500292.30  | 0.27%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20700000 | PA      | $18825668.82  | 0.22%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 102775000 | PA      | $99065459.71  | 1.16%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13150000 | PA      | $12967138.73  | 0.15%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                     | Alphabet Inc.                                                     | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |   2117815 | NS      | $186854817.50 | 2.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Hess Corporation                                                  | Hess Corporation                                                  | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   7695000 | PA      | $8360404.35   | 0.10%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                        | American Tower Corporation                                        | CUSIP: 03027X100<br>LEI: 5493006ORUSIL88JOE18 | Long             | EC               | CORP              | US        |    154402 | NS      | $32711607.72  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                               | Anheuser-Busch InBev Worldwide Inc.                               | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $6561613.76   | 0.08%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31371LPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2472 | PA      | $2450.54      | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138Y23H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4382 | PA      | $4338.54      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 35566AAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2182993 | PA      | $2193534.18   | 0.03%             | 2050-10-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36176ANJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6212 | PA      | $5965.31      | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36202DX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4230 | PA      | $4240.45      | 0.00%             | 2033-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Illinois, State of                                                | Illinois, State of                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  24735000 | PA      | $23739141.69  | 0.28%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Illinois State Toll Highway Authority                             | Illinois State Toll Highway Authority                             | CUSIP: 452252FH7<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |    565000 | PA      | $606548.35    | 0.01%             | 2034-01-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Indianapolis Power & Light Company                                | Indianapolis Power & Light Company                                | CUSIP: 455434BL3<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |    500000 | PA      | $521093.30    | 0.01%             | 2037-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22598900 | PA      | $23050878.00  | 0.27%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MasterCard Incorporated                                           | MasterCard Incorporated                                           | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |    198997 | NS      | $69197226.81  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Novartis AG                                                       | Novartis AG                                                       | CUSIP: 66987V109<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |    892723 | NS      | $80987830.56  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Oregon School Boards Association                                  | Oregon School Boards Association                                  | CUSIP: 686053GG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    335815 | PA      | $331885.53    | 0.00%             | 2028-06-30      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $40006248.00  | 0.47%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6545000 | PA      | $6498980.80   | 0.08%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                                         | Shell PLC                                                         | CUSIP: N/A<br>LEI: 21380068P1DRHMJ8KU70       | Long             | EC               | CORP              | GB        |    134749 | NS      | $3807649.55   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                   | AstraZeneca PLC                                                   | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |   1554246 | NS      | $105377878.80 | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 312938JJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    191099 | PA      | $200728.95    | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140JJNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99600 | PA      | $95126.89     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140KYAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3171674 | PA      | $2686448.35   | 0.03%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                             | Georgia Power Company                                             | CUSIP: 373334JS1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $982307.90    | 0.01%             | 2040-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| The Home Depot, Inc.                                              | The Home Depot, Inc.                                              | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |    249638 | NS      | $78850658.68  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc.                                      | Honeywell International Inc.                                      | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |    425811 | NS      | $91251297.30  | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Horizon Aircraft Finance I Limited                                | Horizon Aircraft Finance I Limited                                | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    197562 | PA      | $160719.08    | 0.00%             | 2025-12-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance II Limited                               | Horizon Aircraft Finance II Limited                               | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    690301 | PA      | $544043.97    | 0.01%             | 2026-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Illinois Municipal Electric Agency                                | Illinois Municipal Electric Agency                                | CUSIP: 452024GT3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3405000 | PA      | $3698761.95   | 0.04%             | 2035-02-01      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2021-1 Trust                           | SoFi Consumer Loan Program 2021-1 Trust                           | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    796233 | PA      | $779521.98    | 0.01%             | 2024-06-25      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31400QQQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       103 | PA      | $102.77       | 0.00%             | 2033-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Visa Inc.                                                         | Visa Inc.                                                         | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |    322556 | NS      | $67014234.56  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc.                                                         | AT&T Inc.                                                         | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    606000 | PA      | $423771.98    | 0.00%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                               | CommonSpirit Health                                               | CUSIP: 14916RAF1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   5150000 | PA      | $5135515.63   | 0.06%             | 2023-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Cenovus Energy Inc.                                               | Cenovus Energy Inc.                                               | CUSIP: 15135U109<br>LEI: 549300F4XPHJ7NOSP309 | Long             | EC               | CORP              | CA        |   1682906 | NS      | $32665205.46  | 0.38%             |  |  |  | No            |                  1 | On Loan: —       |
| Charter Communications Operating, LLC                             | Charter Communications Operating, LLC                             | CUSIP: 161175CD4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   4230000 | PA      | $3410437.50   | 0.04%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                               | Comcast Corporation                                               | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4345000 | PA      | $4253277.05   | 0.05%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                               | CommonSpirit Health                                               | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1449000 | PA      | $1130947.54   | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                                    | ConocoPhillips                                                    | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    746807 | NS      | $88123226.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Danske Bank A/S                                                   | Danske Bank A/S                                                   | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | US        |   2910000 | PA      | $2883576.04   | 0.03%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                         | AT&T Inc.                                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3819000 | PA      | $2936808.63   | 0.03%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                | AerCap Ireland Capital Designated Activity Company                | CUSIP: 00774MAS4<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | US        |   8355000 | PA      | $7345340.86   | 0.09%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                   | Danske Bank A/S                                                   | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | US        |   2265000 | PA      | $2254766.82   | 0.03%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                   | Danske Bank A/S                                                   | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | US        |   8775000 | PA      | $7718293.79   | 0.09%             | 2026-09-11      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3750000 | PA      | $3591796.88   | 0.04%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                  | Amazon.com, Inc.                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |   1376351 | NS      | $115613484.00 | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT Corporation                                                   | EQT Corporation                                                   | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |    402702 | NS      | $13623408.66  | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| SBA Towers, LLC                                                   | SBA Towers, LLC                                                   | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2570000 | PA      | $2159951.87   | 0.03%             | 2051-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                             | The Coca-Cola Company                                             | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |   2096756 | NS      | $133374649.20 | 1.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corporation                                           | Duke Energy Corporation                                           | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  22440000 | PA      | $21086839.50  | 0.25%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6825000 | PA      | $5333097.32   | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14669000 | PA      | $11460156.25  | 0.13%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15700000 | PA      | $15386000.00  | 0.18%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14650000 | PA      | $13130062.50  | 0.15%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Electronic Arts Inc.                                              | Electronic Arts Inc.                                              | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |    430086 | NS      | $52547907.48  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer LP                                                | Energy Transfer LP                                                | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2818420.90   | 0.03%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1245000 | PA      | $1110189.91   | 0.01%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15350000 | PA      | $14407414.83  | 0.17%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                       | Equinor ASA                                                       | CUSIP: 29446MAE2<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | US        |  11800000 | PA      | $11024434.38  | 0.13%             | 2027-04-06      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2128749 | PA      | $2049602.19   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2060000 | PA      | $1780290.73   | 0.02%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23655000 | PA      | $20894016.79  | 0.24%             | 2026-07-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19055000 | PA      | $16866651.39  | 0.20%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138WJKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    264636 | PA      | $247737.10    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138WUR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     79209 | PA      | $79017.11     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138XLYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    233893 | PA      | $231646.47    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138XWV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29436 | PA      | $29152.89     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                             | Georgia Power Company                                             | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   7045000 | PA      | $6784743.33   | 0.08%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                             | Georgia Power Company                                             | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |  12410000 | PA      | $11694495.99  | 0.14%             | 2052-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corporation                                      | KeySpan Gas East Corporation                                      | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3297423.85   | 0.04%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc.                                         | Liberty Mutual Group Inc.                                         | CUSIP: 53079EBE3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    129000 | PA      | $128085.08    | 0.00%             | 2023-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                             | Metropolitan Transportation Authority                             | CUSIP: 59259NZH9<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     75000 | PA      | $91870.16     | 0.00%             | 2039-11-15      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                    | Penske Truck Leasing Co., L.P.                                    | CUSIP: 709599AZ7<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |  10090000 | PA      | $9708083.41   | 0.11%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Dominion Energy South Carolina, Inc.                              | Dominion Energy South Carolina, Inc.                              | CUSIP: 837004BV1<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |   1384000 | PA      | $1520143.39   | 0.02%             | 2032-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10885000 | PA      | $8765826.56   | 0.10%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31630000 | PA      | $23613771.88  | 0.28%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2495000 | PA      | $1708685.28   | 0.02%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                  | Welltower OP LLC                                                  | CUSIP: 95040Q104<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | EC               | CORP              | US        |    543353 | NS      | $35616789.15  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| BPCE                                                              | BPCE                                                              | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |   5670000 | PA      | $5549406.47   | 0.06%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                | BX Trust 2021-ARIA                                                | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7510000 | PA      | $7031853.32   | 0.08%             | 2023-10-16      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust 2021-FILM                                             | BXHPP Trust 2021-FILM                                             | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7920000 | PA      | $7391267.93   | 0.09%             | 2026-08-17      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                             | Banco Santander, S.A.                                             | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2985461.10   | 0.03%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                      | Barclays PLC                                                      | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | US        |   6380000 | PA      | $6185765.56   | 0.07%             | 2025-05-07      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36213X4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12272 | PA      | $12477.77     | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12190000 | PA      | $11001475.00  | 0.13%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties Inc.                                              | VICI Properties Inc.                                              | CUSIP: 92564RAE5<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2272478.52   | 0.03%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                     | Consolidated Edison Company of New York, Inc.                     | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1433878.86   | 0.02%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                     | Consolidated Edison Company of New York, Inc.                     | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |  13060000 | PA      | $9076689.55   | 0.11%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Group, Inc.                                  | Constellation Energy Group, Inc.                                  | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Long             | EC               | CORP              | US        |    536896 | NS      | $46285804.16  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Corebridge Financial, Inc.                                        | Corebridge Financial, Inc.                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   9385000 | PA      | $8220327.98   | 0.10%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority                                         | Chicago Transit Authority                                         | CUSIP: 167725AF7<br>LEI: 549300CB8XLRGIPN3E12 | Long             | DBT              | MUN               | US        |    655000 | PA      | $725988.38    | 0.01%             | 2040-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                        | Corebridge Financial, Inc.                                        | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   6895000 | PA      | $6418605.83   | 0.07%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27475000 | PA      | $23050700.75  | 0.27%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                                   | DAE Funding LLC                                                   | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |  10435000 | PA      | $9723519.68   | 0.11%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Dallas/Fort Worth International Airport                           | Dallas/Fort Worth International Airport                           | CUSIP: 23503CAP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    300000 | PA      | $249806.64    | 0.00%             | 2051-11-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fortive Corporation                                               | Fortive Corporation                                               | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Long             | EC               | CORP              | US        |    891340 | NS      | $57268595.00  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 35563PLH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1927343 | PA      | $1810979.92   | 0.02%             | 2026-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dallas/Fort Worth International Airport                           | Dallas/Fort Worth International Airport                           | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1885000 | PA      | $1694274.38   | 0.02%             | 2051-11-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| EOG Resources, Inc.                                               | EOG Resources, Inc.                                               | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |     53692 | NS      | $6954187.84   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer LP                                                | Energy Transfer LP                                                | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1043385.47   | 0.01%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187706 | PA      | $184764.42    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 35563PUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11980877 | PA      | $10240957.85  | 0.12%             | 2060-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36200MTF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1802 | PA      | $1798.01      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ministry of Diwan Amiri Affairs                                   | Ministry of Diwan Amiri Affairs                                   | CUSIP: 74727PAZ4<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | US        |    210000 | PA      | $205537.08    | 0.00%             | 2024-03-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIV, Ltd.                                            | Symphony CLO XIV, Ltd.                                            | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |     72954 | PA      | $72921.30     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36200NGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1278 | PA      | $1303.51      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBA Towers, LLC                                                   | SBA Towers, LLC                                                   | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1520000 | PA      | $1338181.40   | 0.02%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                     | Sabine Pass Liquefaction, LLC                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   6700000 | PA      | $6222739.24   | 0.07%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Company                                   | Southern California Gas Company                                   | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   8751000 | PA      | $9640603.56   | 0.11%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company, LLC                          | Spectrum Management Holding Company, LLC                          | CUSIP: 88732JAU2<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    285000 | PA      | $268133.10    | 0.00%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1826000 | PA      | $1601458.97   | 0.02%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| The Southern Company                                              | The Southern Company                                              | CUSIP: 842587CU9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2792915.03   | 0.03%             | 2023-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                            | Standard Chartered PLC                                            | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | US        |   5480000 | PA      | $5162678.79   | 0.06%             | 2025-01-12      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53295000 | PA      | $47632406.25  | 0.56%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5890000 | PA      | $5551325.00   | 0.06%             | 2027-05-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                 | Time Warner Cable Enterprises LLC                                 | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $196205.49    | 0.00%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18570000 | PA      | $13988431.88  | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4890000 | PA      | $4676826.32   | 0.05%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21905000 | PA      | $21172551.56  | 0.25%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19200000 | PA      | $18390000.00  | 0.21%             | 2023-12-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: —       |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3230000 | PA      | $3017526.72   | 0.04%             | 2024-08-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9085000 | PA      | $8859294.08   | 0.10%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2655000 | PA      | $2444674.09   | 0.03%             | 2029-07-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67650000 | PA      | $60673593.75  | 0.71%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5450000 | PA      | $5466182.14   | 0.06%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                                | American International Group, Inc.                                | CUSIP: 026874DR5<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   2719000 | PA      | $2399968.31   | 0.03%             | 2030-06-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2019-4                                   | Angel Oak Mortgage Trust 2019-4                                   | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55487 | PA      | $55075.79     | 0.00%             | 2023-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I, LLC 2018-3                            | Angel Oak Mortgage Trust I, LLC 2018-3                            | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41782 | PA      | $41555.23     | 0.00%             | 2048-09-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2019-6                                   | Angel Oak Mortgage Trust 2019-6                                   | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342906 | PA      | $328372.82    | 0.00%             | 2023-12-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                   | Avolon Holdings Funding Limited                                   | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |   3833000 | PA      | $3299144.74   | 0.04%             | 2026-02-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BAE Systems Holdings Inc.                                         | BAE Systems Holdings Inc.                                         | CUSIP: 05523UAP5<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   4240000 | PA      | $4081572.82   | 0.05%             | 2025-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chicago, City of                                                  | Chicago, City of                                                  | CUSIP: 167593AN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    155000 | PA      | $173252.61    | 0.00%             | 2040-01-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                     | Ginnie Mae II                                                     | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26440000 | PA      | $25030005.04  | 0.29%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9360749 | PA      | $8434276.73   | 0.10%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12616434 | PA      | $10366927.84  | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2023 | PA      | $2122.97      | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                   | Intercontinental Exchange, Inc.                                   | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   8754000 | PA      | $8455056.15   | 0.10%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46625HHF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $459535.03    | 0.01%             | 2038-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                  | JNL Government Money Market Fund                                  | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 541030523 | NS      | $541030523.30 | 6.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Oglethorpe Power Corporation (An Electric Membership Corporation) | Oglethorpe Power Corporation (An Electric Membership Corporation) | CUSIP: 677050AC0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    325000 | PA      | $329195.75    | 0.00%             | 2031-01-01      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| PECO Energy Company                                               | PECO Energy Company                                               | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1328448.20   | 0.02%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Starbucks Corporation                                             | Starbucks Corporation                                             | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |    951314 | NS      | $94370348.80  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| American Express Company                                          | American Express Company                                          | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |    220706 | NS      | $32609311.50  | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Chesapeake Energy Corporation                                     | Chesapeake Energy Corporation                                     | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |    154081 | NS      | $14540623.97  | 0.17%             |  |  |  | No            |                  1 | On Loan: —       |
| Dollar General Corporation                                        | Dollar General Corporation                                        | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |    130032 | NS      | $32020380.00  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| FMC Corporation                                                   | FMC Corporation                                                   | CUSIP: 302491303<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | EC               | CORP              | US        |    436667 | NS      | $54496041.60  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36202DXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10354 | PA      | $10559.81     | 0.00%             | 2033-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36202DZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10198 | PA      | $10578.90     | 0.00%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36204HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $110.78       | 0.00%             | 2024-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36206GUC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4926 | PA      | $5152.94      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36206VD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1482 | PA      | $1498.90      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mercy Health                                                      | Mercy Health                                                      | CUSIP: 58942HAB7<br>LEI: RV2KCMRGYKSCKT5REH48 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3777914.42   | 0.04%             | 2027-08-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                             | Metropolitan Transportation Authority                             | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   3700000 | PA      | $3866113.35   | 0.05%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                             | Metropolitan Transportation Authority                             | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1330000 | PA      | $1147792.26   | 0.01%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Company                                        | MidAmerican Energy Company                                        | CUSIP: 595620AP0<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     55000 | PA      | $46601.91     | 0.00%             | 2046-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | Morgan Stanley                                                    | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  26465000 | PA      | $20684680.11  | 0.24%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Life Insurance Company                        | Northwestern Mutual Life Insurance Company                        | CUSIP: 668138AC4<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |    546000 | PA      | $379157.42    | 0.00%             | 2059-09-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Pacific Gas And Electric Company                                  | Pacific Gas And Electric Company                                  | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4198993.95   | 0.05%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                     | Sempra Energy                                                     | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |    497736 | NS      | $76920121.44  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Aaset 2019-1 Trust                                                | Aaset 2019-1 Trust                                                | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | KY        |    576506 | PA      | $368884.44    | 0.00%             | 2026-05-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ACE Capital Trust II                                              | ACE Capital Trust II                                              | CUSIP: 00440FAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $650540.63    | 0.01%             | 2030-04-01      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| Aetna Inc.                                                        | Aetna Inc.                                                        | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   3340000 | PA      | $3304743.63   | 0.04%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  77649000 | PA      | $63378573.60  | 0.74%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FDHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    118559 | PA      | $107826.49    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140H65P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139144 | PA      | $132665.99    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36176EXK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4635 | PA      | $4444.31      | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36176R6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48180 | PA      | $46194.04     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36177QXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5385 | PA      | $5166.15      | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189206 | PA      | $183482.52    | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36200KKJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2929 | PA      | $3014.67      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36200M7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3986 | PA      | $4118.41      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295M5Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78032 | PA      | $81478.12     | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295NYP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5395 | PA      | $5626.55      | 0.00%             | 2038-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296TWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3105 | PA      | $3248.27      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Limited                              | Galaxy Pipeline Assets Bidco Limited                              | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | US        |  18789091 | PA      | $15968187.61  | 0.19%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3260000 | PA      | $2597949.03   | 0.03%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 38374L5Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2262 | PA      | $2343.22      | 0.00%             | 2035-09-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5140000 | PA      | $4889685.91   | 0.06%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                 | Johnson & Johnson                                                 | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |    143228 | NS      | $25301226.20  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Kansas Development Finance Authority                              | Kansas Development Finance Authority                              | CUSIP: 485428ZX7<br>LEI: 549300WTL7BL8KBDPR87 | Long             | DBT              | MUN               | US        |   1820000 | PA      | $1835850.02   | 0.02%             | 2026-05-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                      | Northrop Grumman Corporation                                      | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |    115393 | NS      | $62959574.73  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International Inc.                                  | Philip Morris International Inc.                                  | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2719260.43   | 0.03%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                           | CF Hippolyta Issuer LLC                                           | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    827997 | PA      | $679636.84    | 0.01%             | 2026-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CVS Health Corporation                                            | CVS Health Corporation                                            | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1077115.91   | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners, L.P.                                    | Cheniere Energy Partners, L.P.                                    | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |  12870000 | PA      | $10251095.15  | 0.12%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                     | Ginnie Mae II                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38150000 | PA      | $33979308.48  | 0.40%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EIG Pearl Holdings S.a r.l.                                       | EIG Pearl Holdings S.a r.l.                                       | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | US        |  10020000 | PA      | $8416400.00   | 0.10%             | 2036-08-31      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132D9HT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13992528 | PA      | $12273296.81  | 0.14%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136A9V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1153170 | PA      | $1059551.68   | 0.01%             | 2042-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Genting New York LLC                                              | Genting New York LLC                                              | CUSIP: 37255JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10068000 | PA      | $8806042.65   | 0.10%             | 2026-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc.                                              | Global Payments Inc.                                              | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |    471747 | NS      | $46853912.04  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Golden State Tobacco Securitization Corporation                   | Golden State Tobacco Securitization Corporation                   | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    190000 | PA      | $152471.88    | 0.00%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                          | SCE Recovery Funding LLC                                          | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1050000 | PA      | $714344.51    | 0.01%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| SREIT Commercial Mortgage Trust 2021-MFP                          | SREIT Commercial Mortgage Trust 2021-MFP                          | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8820000 | PA      | $8401571.26   | 0.10%             | 2023-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| The Southern Company                                              | The Southern Company                                              | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3377372.16   | 0.04%             | 2051-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co LLC                                            | Sprint Spectrum Co LLC                                            | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4415625 | PA      | $4353199.10   | 0.05%             | 2025-03-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| START Ireland                                                     | START Ireland                                                     | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    787553 | PA      | $677321.13    | 0.01%             | 2026-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-2                                  | Towd Point Mortgage Trust 2017-2                                  | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83587 | PA      | $81485.36     | 0.00%             | 2023-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-4                                  | Towd Point Mortgage Trust 2017-4                                  | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1079444 | PA      | $997440.96    | 0.01%             | 2025-02-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6610000 | PA      | $6260909.38   | 0.07%             | 2024-10-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15451000 | PA      | $14147321.88  | 0.17%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                             | Wells Fargo & Company                                             | CUSIP: 949746RE3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    517000 | PA      | $513942.10    | 0.01%             | 2024-01-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| American Electric Power Company, Inc.                             | American Electric Power Company, Inc.                             | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     60964 | NS      | $5788531.80   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Becton, Dickinson and Company                                     | Becton, Dickinson and Company                                     | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |    349288 | NS      | $88823938.40  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CMS Energy Corporation                                            | CMS Energy Corporation                                            | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   4502000 | PA      | $3911525.33   | 0.05%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Danaher Corporation                                               | Danaher Corporation                                               | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |    189835 | NS      | $50386005.70  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Deere & Company                                                   | Deere & Company                                                   | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |    177135 | NS      | $75948402.60  | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136AFT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5510484 | PA      | $5118519.40   | 0.06%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136AL3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2681532 | PA      | $2355301.49   | 0.03%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136AMTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6208881 | PA      | $5522844.88   | 0.06%             | 2045-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136ANBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4230149 | PA      | $3896712.56   | 0.05%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136B9VP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4729134 | PA      | $3822450.41   | 0.04%             | 2049-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company, Inc.                            | General Motors Financial Company, Inc.                            | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5870017.38   | 0.07%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                             | Metropolitan Transportation Authority                             | CUSIP: 59259NZN6<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    405000 | PA      | $438180.23    | 0.01%             | 2040-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2017-3                              | Mill City Mortgage Loan Trust 2017-3                              | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459407 | PA      | $435477.23    | 0.01%             | 2024-03-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | Morgan Stanley                                                    | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6987000 | PA      | $6393131.97   | 0.07%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                           | Municipal Electric Authority of Georgia                           | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |   4964000 | PA      | $5310198.30   | 0.06%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority                                  | New York State Thruway Authority                                  | CUSIP: 650014TJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    840000 | PA      | $875072.60    | 0.01%             | 2030-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                    | Penske Truck Leasing Co., L.P.                                    | CUSIP: 709599BG8<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1457736.24   | 0.02%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Philadelphia, City of                                             | Philadelphia, City of                                             | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   5225000 | PA      | $5461577.03   | 0.06%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                  | Philip Morris International Inc.                                  | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4035000 | PA      | $4073227.87   | 0.05%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Ross Stores, Inc.                                                 | Ross Stores, Inc.                                                 | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |    157791 | NS      | $18314801.37  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BFLD Trust 2020-OBRK                                              | BFLD Trust 2020-OBRK                                              | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3413846.07   | 0.04%             | 2028-11-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                       | Bank of America Corporation                                       | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1875798.11   | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                       | Bank of America Corporation                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $1900846.42   | 0.02%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                       | Bank of America Corporation                                       | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7535000 | PA      | $6604684.22   | 0.08%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                       | Bank of America Corporation                                       | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4630000 | PA      | $3564429.02   | 0.04%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust 2021-1                       | Castlelake Aircraft Structured Trust 2021-1                       | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    879037 | PA      | $734524.59    | 0.01%             | 2028-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241KDJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49506 | PA      | $49438.80     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241KP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1148 | PA      | $1195.99      | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36290QZG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2846 | PA      | $2900.92      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36290T3T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132296 | PA      | $137877.17    | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    290000 | PA      | $260615.69    | 0.00%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance III Limited                              | Horizon Aircraft Finance III Limited                              | CUSIP: 44040JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1308001 | PA      | $1003519.48   | 0.01%             | 2026-11-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Intel Corporation                                                 | Intel Corporation                                                 | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |  15350000 | PA      | $14330245.78  | 0.17%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3080000 | PA      | $2464123.29   | 0.03%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc.                                         | Liberty Mutual Group Inc.                                         | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   3131000 | PA      | $2934620.24   | 0.03%             | 2029-02-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc.                                         | Liberty Mutual Group Inc.                                         | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   7830000 | PA      | $6988906.88   | 0.08%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Metlife Securitization Trust 2017-1                               | Metlife Securitization Trust 2017-1                               | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    758407 | PA      | $698051.25    | 0.01%             | 2026-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | Morgan Stanley                                                    | CUSIP: 61761JVL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7950000 | PA      | $7764644.16   | 0.09%             | 2024-10-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| New Economy Assets - Phase 1 Sponsor, LLC                         | New Economy Assets - Phase 1 Sponsor, LLC                         | CUSIP: 643821AB7<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | ABS-CBDO         | CORP              | US        |   2440000 | PA      | $1990944.35   | 0.02%             | 2026-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                | Oracle Corporation                                                | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2860000 | PA      | $2115086.69   | 0.02%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| The PNC Financial Services Group, Inc.                            | The PNC Financial Services Group, Inc.                            | CUSIP: 693475AP0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    830000 | PA      | $819770.17    | 0.01%             | 2024-04-29      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                   | UnitedHealth Group Incorporated                                   | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |    324102 | NS      | $171832398.40 | 2.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137AYRG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    619820 | PA      | $599164.42    | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138YPUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     79085 | PA      | $74529.08     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31406EZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       236 | PA      | $233.05       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FAQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    413261 | PA      | $386871.20    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FKQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7524796 | PA      | $6773634.38   | 0.08%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XA4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3558943 | PA      | $3014470.20   | 0.04%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XGK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21627242 | PA      | $19913789.02  | 0.23%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3078865 | PA      | $2600141.16   | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Foothill/Eastern Transportation Corridor Agency               | The Foothill/Eastern Transportation Corridor Agency               | CUSIP: 345105JE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    420000 | PA      | $317160.06    | 0.00%             | 2049-01-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                                  | Salesforce, Inc.                                                  | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |    215692 | NS      | $28598602.28  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Children's National Medical Center                                | Children's National Medical Center                                | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |   2590000 | PA      | $1607272.52   | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                               | Comcast Corporation                                               | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | DE        |     34000 | PA      | $37819.05     | 0.00%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33199000 | PA      | $28146527.19  | 0.33%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36230NZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56451 | PA      | $55562.74     | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                               | Comcast Corporation                                               | CUSIP: 20030NBP5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $2164763.56   | 0.03%             | 2035-08-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31371LDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3856 | PA      | $3835.37      | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241K2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41051 | PA      | $41155.92     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36294RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       660 | PA      | $689.51       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296LQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108489 | PA      | $113468.70    | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |    104502 | NS      | $35883896.76  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4625008 | PA      | $4441689.45   | 0.05%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140QEAC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7156758 | PA      | $6148824.93   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corporation                          | Grand Parkway Transportation Corporation                          | CUSIP: 38611TAV9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    220000 | PA      | $225316.54    | 0.00%             | 2042-10-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                 | Intel Corporation                                                 | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |    874098 | NS      | $23102410.14  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46625HJJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    590000 | PA      | $587334.09    | 0.01%             | 2023-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5845000 | PA      | $4777777.82   | 0.06%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140QEDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6565115 | PA      | $5842051.28   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22576760 | PA      | $19294826.15  | 0.23%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magallanes, Inc.                                                  | Magallanes, Inc.                                                  | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  19737000 | PA      | $17106203.76  | 0.20%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                            | McDonald's Corporation                                            | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |    447813 | NS      | $118012159.90 | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36294TYF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       768 | PA      | $797.14       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36295QLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165263 | PA      | $172786.21    | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The TJX Companies, Inc.                                           | The TJX Companies, Inc.                                           | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |   1236207 | NS      | $98402077.20  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Company Limited                | Taiwan Semiconductor Manufacturing Company Limited                | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |    585358 | NS      | $43603317.42  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Partners of America 2021-2 Trust                             | Home Partners of America 2021-2 Trust                             | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6805606 | PA      | $5881073.89   | 0.07%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                       | Humana Inc.                                                       | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |    220212 | NS      | $112790384.30 | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Motorola Solutions, Inc.                                          | Motorola Solutions, Inc.                                          | CUSIP: 620076307<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | EC               | CORP              | US        |    343371 | NS      | $88490140.41  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE, Inc.                                                        | NIKE, Inc.                                                        | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    302725 | NS      | $35421852.25  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Parker-Hannifin Corporation                                       | Parker-Hannifin Corporation                                       | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |    165645 | NS      | $48202695.00  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| The Progressive Corporation                                       | The Progressive Corporation                                       | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |    995398 | NS      | $129113074.60 | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Sacramento, City of                                               | Sacramento, City of                                               | CUSIP: 786056BB6<br>LEI: 549300OXI5MD45L13R20 | Long             | DBT              | MUN               | US        |   1065000 | PA      | $1072904.43   | 0.01%             | 2023-08-01      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36000100 | PA      | $36123850.34  | 0.42%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136ADEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4890867 | PA      | $4425608.06   | 0.05%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Glencore PLC                                                      | Glencore PLC                                                      | CUSIP: N/A<br>LEI: 2138002658CPO9NBH955       | Long             | EC               | CORP              | JE        |  11923596 | NS      | $80472856.29  | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140EWEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    119001 | PA      | $111699.66    | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XAXV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4089504 | PA      | $3356512.56   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31412Q2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17188 | PA      | $17023.76     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31412QBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       706 | PA      | $699.10       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31412UZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10419 | PA      | $10317.56     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    331000 | PA      | $331051.70    | 0.00%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anglo American PLC                                                | Anglo American PLC                                                | CUSIP: N/A<br>LEI: 549300S9XF92D1X8ME43       | Long             | EC               | CORP              | GB        |    893669 | NS      | $34859382.18  | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416Q6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1682 | PA      | $1664.85      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416S6B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15210 | PA      | $15070.09     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416SD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16523 | PA      | $16370.97     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416VBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24340 | PA      | $24097.06     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31417CRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23968 | PA      | $23022.73     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7 | Bank of America Merrill Lynch Commercial Mortgage Trust 2015-UBS7 | CUSIP: 06054AAX7<br>LEI: 5493005NJP8BSE187672 | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1081465.78   | 0.01%             | 2025-09-17      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                           | Bayer US Finance II LLC                                           | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $3196936.19   | 0.04%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust 2019-1                       | Castlelake Aircraft Structured Trust 2019-1                       | CUSIP: 14855MAA6<br>LEI: 5493003ADMTNWVTVWM43 | Long             | ABS-CBDO         | CORP              | US        |   1509056 | PA      | $1288566.74   | 0.02%             | 2026-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138YBSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5697510 | PA      | $5150123.29   | 0.06%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138YTVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12767 | PA      | $12007.89     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36225B5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4451 | PA      | $4442.97      | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                  | Philip Morris International Inc.                                  | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   6675000 | PA      | $6827411.01   | 0.08%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| The Progressive Corporation                                       | The Progressive Corporation                                       | CUSIP: 743315AX1<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |   2345000 | PA      | $1889939.38   | 0.02%             | 2050-03-26      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ProLogis Inc.                                                     | ProLogis Inc.                                                     | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |    147733 | NS      | $16653941.09  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Ministry of Diwan Amiri Affairs                                   | Ministry of Diwan Amiri Affairs                                   | CUSIP: 74727PAW1<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   4700000 | PA      | $4680880.40   | 0.05%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                     | Sutter Health                                                     | CUSIP: 86944BAG8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1256348.10   | 0.01%             | 2030-08-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company, LLC                          | Spectrum Management Holding Company, LLC                          | CUSIP: 88732JAJ7<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    435000 | PA      | $413471.72    | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company, LLC                          | Spectrum Management Holding Company, LLC                          | CUSIP: 88732JAN8<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    285000 | PA      | $282765.26    | 0.00%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2018-1                                  | Towd Point Mortgage Trust 2018-1                                  | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    437983 | PA      | $418358.83    | 0.00%             | 2024-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    625000 | PA      | $588378.88    | 0.01%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5220000 | PA      | $5032406.25   | 0.06%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $777250.00    | 0.01%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21110000 | PA      | $19998427.62  | 0.23%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42915000 | PA      | $42029878.13  | 0.49%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| BX Trust 2021-LGCY                                                | BX Trust 2021-LGCY                                                | CUSIP: 12434DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17700000 | PA      | $16893432.24  | 0.20%             | 2036-10-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-AL1 Trust                                               | CFMT 2021-AL1 Trust                                               | CUSIP: 12529UAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8532396 | PA      | $8108488.75   | 0.09%             | 2031-09-22      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                           | CF Hippolyta Issuer LLC                                           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1579856 | PA      | $1362787.10   | 0.02%             | 2026-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                | Credit Agricole SA                                                | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | US        |   5055000 | PA      | $4875694.10   | 0.06%             | 2025-03-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Dignity Health                                                    | Dignity Health                                                    | CUSIP: 254010AD3<br>LEI: TFVG45LTYVO3XKPZWP18 | Long             | DBT              | CORP              | US        |   1703000 | PA      | $1652012.86   | 0.02%             | 2024-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corporation                                           | Duke Energy Corporation                                           | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1547573.33   | 0.02%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 31292HGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10690 | PA      | $11271.14     | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21341493 | PA      | $17536310.87  | 0.20%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132WJTH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2546222 | PA      | $2294211.62   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc.                                                   | S&P Global Inc.                                                   | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |    143916 | NS      | $48203225.04  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust 2015-5AVE              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE              | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   2960000 | PA      | $1997116.14   | 0.02%             | 2035-01-08      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                          | SCE Recovery Funding LLC                                          | CUSIP: 78433LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2157150 | PA      | $1798840.33   | 0.02%             | 2031-11-15      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416KGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1678 | PA      | $1659.56      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416MLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       380 | PA      | $376.53       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416NRD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2266 | PA      | $2242.73      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Class B Pass Through Certificates, Series 2018-1  | United Airlines Class B Pass Through Certificates, Series 2018-1  | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    392314 | PA      | $358436.42    | 0.00%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5470000 | PA      | $4478562.50   | 0.05%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418BZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2297392 | PA      | $2211975.37   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7359140 | PA      | $6233285.85   | 0.07%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45525000 | PA      | $40417664.06  | 0.47%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25970000 | PA      | $23222862.24  | 0.27%             | 2026-10-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                       | Verizon Communications Inc.                                       | CUSIP: 92343VBE3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    265000 | PA      | $242234.78    | 0.00%             | 2041-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                       | Verizon Communications Inc.                                       | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  25651000 | PA      | $20367240.29  | 0.24%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5225000 | PA      | $4877210.94   | 0.06%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8115000 | PA      | $7806883.19   | 0.09%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61866000 | PA      | $59507358.75  | 0.69%             | 2027-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137AUXZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    440794 | PA      | $404608.91    | 0.00%             | 2042-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137AX6T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4738785 | PA      | $4318388.30   | 0.05%             | 2042-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138AS5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    341003 | PA      | $341277.31    | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138ATL40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    143927 | PA      | $141477.03    | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74907 | PA      | $74301.69     | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138LTX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94754 | PA      | $91016.97     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                 | Sysco Corporation                                                 | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |   1328933 | NS      | $101596927.90 | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9989355 | PA      | $8646912.44   | 0.10%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137H4RG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5200000 | PA      | $3975580.44   | 0.05%             | 2036-10-25      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8300000 | PA      | $7027932.04   | 0.08%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138A4DU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       445 | PA      | $433.89       | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138ARAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66899 | PA      | $65900.36     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XD7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7796824 | PA      | $6626869.31   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15614397 | PA      | $13486071.84  | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XFU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22559645 | PA      | $19340124.03  | 0.23%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8292269 | PA      | $6734338.23   | 0.08%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418DNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12949623 | PA      | $11931761.49  | 0.14%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    714390 | PA      | $625275.38    | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418WPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1720 | PA      | $1703.63      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31419CQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    413504 | PA      | $409705.80    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                | Southern California Edison Company                                | CUSIP: 842400GN7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    735000 | PA      | $710637.32    | 0.01%             | 2025-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc.                                                       | Zoetis Inc.                                                       | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |    155494 | NS      | $22787645.70  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9900000 | PA      | $9660233.88   | 0.11%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  42650000 | PA      | $40037666.18  | 0.47%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                             | Elevance Health, Inc.                                             | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |    192037 | NS      | $98509219.89  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc.                                                        | Apple Inc.                                                        | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |   1379539 | NS      | $179243502.30 | 2.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Ashtead Capital, Inc.                                             | Ashtead Capital, Inc.                                             | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2683505.94   | 0.03%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                        | Aviation Capital Group LLC                                        | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   8865000 | PA      | $7506650.62   | 0.09%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Baxter International Inc.                                         | Baxter International Inc.                                         | CUSIP: 071813109<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | EC               | CORP              | US        |    457664 | NS      | $23327134.08  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas                                                       | BNP Paribas                                                       | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3061704.00   | 0.04%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                       | BNP Paribas                                                       | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3379590.48   | 0.04%             | 2025-11-19      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Bon Secours Mercy Health, Inc.                                    | Bon Secours Mercy Health, Inc.                                    | CUSIP: 09778PAB1<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |   2755000 | PA      | $2148989.81   | 0.03%             | 2031-06-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Boston Gas Company                                                | Boston Gas Company                                                | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    960000 | PA      | $859376.74    | 0.01%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| The Brooklyn Union Gas Company                                    | The Brooklyn Union Gas Company                                    | CUSIP: 114259AN4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2078930.56   | 0.02%             | 2026-03-10      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc.                                               | Coterra Energy Inc.                                               | CUSIP: 127097103<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | EC               | CORP              | US        |    571480 | NS      | $14041263.60  | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132GFLS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12147 | PA      | $11787.44     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                   | Intercontinental Exchange, Inc.                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |  25939000 | PA      | $25049987.47  | 0.29%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                | ITC Holdings Corp.                                                | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2647616.97   | 0.03%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                              | JPMorgan Chase & Co.                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    559484 | NS      | $75026804.40  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Metropolitan Transportation Authority                             | Metropolitan Transportation Authority                             | CUSIP: 59259YDK2<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    140000 | PA      | $142298.31    | 0.00%             | 2026-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Incorporated                                 | Microchip Technology Incorporated                                 | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |  10715000 | PA      | $10186878.76  | 0.12%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Nestle S.A.                                                       | Nestle S.A.                                                       | CUSIP: N/A<br>LEI: KY37LUS27QQX7BB93L28       | Long             | EC               | CORP              | CH        |    503286 | NS      | $58288719.75  | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137B8MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    643579 | PA      | $618797.31    | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137FE5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6100478 | PA      | $5621189.39   | 0.07%             | 2047-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3137FGMK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4631845 | PA      | $4386690.71   | 0.05%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31403AVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11590 | PA      | $12339.22     | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XDBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32963799 | PA      | $29338407.26  | 0.34%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3487597 | PA      | $2945320.19   | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140XFMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7967379 | PA      | $6783036.09   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31412N6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5956 | PA      | $5895.24      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31414KJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     33029 | PA      | $34885.09     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8930000 | PA      | $8558846.88   | 0.10%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                             | Banco Santander, S.A.                                             | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3584808.00   | 0.04%             | 2023-02-23      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BlackRock, Inc.                                                   | BlackRock, Inc.                                                   | CUSIP: 09247X101<br>LEI: 549300LRIF3NWCU26A80 | Long             | EC               | CORP              | US        |     70175 | NS      | $49728110.25  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Blackstone Inc.                                                   | Blackstone Inc.                                                   | CUSIP: 09260D107<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | EC               | CORP              | US        |    198560 | NS      | $14731166.40  | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corporation                                 | Capital One Financial Corporation                                 | CUSIP: 14040HBF1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1964461.00   | 0.02%             | 2024-04-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                               | CommonSpirit Health                                               | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $851769.77    | 0.01%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1426400 | PA      | $1336488.41   | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3128PWMC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33007 | PA      | $32475.90     | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SBA Towers, LLC                                                   | SBA Towers, LLC                                                   | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1930000 | PA      | $1799897.74   | 0.02%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                          | SCE Recovery Funding LLC                                          | CUSIP: 78433LAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    605000 | PA      | $369933.60    | 0.00%             | 2043-11-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| The Toledo Hospital                                               | The Toledo Hospital                                               | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1384464.50   | 0.02%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  73160300 | PA      | $58756865.94  | 0.69%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32872300 | PA      | $27212100.84  | 0.32%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 142757000 | PA      | $127633680.30 | 1.49%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60175000 | PA      | $53866024.34  | 0.63%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52000000 | PA      | $49879377.60  | 0.58%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3274000 | PA      | $3207496.88   | 0.04%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26032200 | PA      | $26121685.69  | 0.31%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12401000 | PA      | $12337057.96  | 0.14%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| BP Capital Markets P.L.C.                                         | BP Capital Markets P.L.C.                                         | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | US        |   7708000 | PA      | $6748371.50   | 0.08%             | 2500-12-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 312938JG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31488 | PA      | $33100.27     | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 31298T4F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       811 | PA      | $842.18       | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132D9HB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5960518 | PA      | $5048635.13   | 0.06%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  52139984 | PA      | $42794559.51  | 0.50%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3133KYVL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1491394 | PA      | $1303023.02   | 0.02%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241KJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1694 | PA      | $1746.12      | 0.00%             | 2033-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241KJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3223 | PA      | $3327.09      | 0.00%             | 2033-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241KZ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401278 | PA      | $401097.44    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241LEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32097 | PA      | $33558.53     | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36241LMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14557 | PA      | $15219.77     | 0.00%             | 2040-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36292LAV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271743 | PA      | $282788.05    | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296QPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107086 | PA      | $111863.57    | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296QPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19792 | PA      | $20693.27     | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296QV48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457730 | PA      | $458990.78    | 0.01%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  17135000 | PA      | $14992322.57  | 0.18%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Illinois Tool Works Inc.                                          | Illinois Tool Works Inc.                                          | CUSIP: 452308109<br>LEI: 76NA4I14SZCFAYMNSV04 | Long             | EC               | CORP              | US        |    292431 | NS      | $64422549.30  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| The Charles Schwab Corporation                                    | The Charles Schwab Corporation                                    | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |   2890851 | NS      | $240692254.30 | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3140FPXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19864 | PA      | $18595.85     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296QN54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2052 | PA      | $2145.99      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141GRD8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6875000 | PA      | $6869233.94   | 0.08%             | 2023-01-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                | Credit Agricole SA                                                | CUSIP: 22535WAD9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | US        |   3020000 | PA      | $2904938.00   | 0.03%             | 2024-10-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                | Credit Agricole SA                                                | CUSIP: 22535WAE7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1946843.74   | 0.02%             | 2023-04-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                            | Credit Suisse Group AG                                            | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |   8678000 | PA      | $6025689.75   | 0.07%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| D.R. Horton, Inc.                                                 | D.R. Horton, Inc.                                                 | CUSIP: 23331A109<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | EC               | CORP              | US        |    228248 | NS      | $20346026.72  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Gray Oak Pipeline, LLC                                            | Gray Oak Pipeline, LLC                                            | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $411289.06    | 0.00%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline, LLC                                            | Gray Oak Pipeline, LLC                                            | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2861000 | PA      | $2593972.28   | 0.03%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                | Exelon Corporation                                                | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |   1973639 | NS      | $85320413.97  | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Meta Platforms, Inc.                                              | Meta Platforms, Inc.                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |    693203 | NS      | $83420049.02  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    862833 | PA      | $904573.07    | 0.01%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    683112 | PA      | $715093.71    | 0.01%             | 2023-04-25      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3128M7YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14148 | PA      | $14828.51     | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3132DMY41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2381172 | PA      | $1956609.56   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                                              | HCA Healthcare, Inc.                                              | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |    526127 | NS      | $126249434.90 | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC Holdings PLC                                                 | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2037878.81   | 0.02%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31368HNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6579 | PA      | $6516.91      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136ANUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    948104 | PA      | $912339.60    | 0.01%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    269032 | PA      | $268141.41    | 0.00%             | 2024-10-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136B0SC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1357268 | PA      | $1266512.36   | 0.01%             | 2048-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC Holdings PLC                                                 | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   6134000 | PA      | $6437805.61   | 0.08%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Lennar Corporation                                                | Lennar Corporation                                                | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |    292383 | NS      | $26460661.50  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3136BJD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5686960 | PA      | $4443854.24   | 0.05%             | 2036-10-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Qatarenergy                                                       | Qatarenergy                                                       | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | US        |   3745000 | PA      | $2874767.35   | 0.03%             | 2041-07-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                        | Cooperatieve Rabobank U.A.                                        | CUSIP: 74977RDK7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |   6735000 | PA      | $5865248.23   | 0.07%             | 2027-02-24      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2021-1 LLC                                  | SCF Equipment Leasing 2021-1 LLC                                  | CUSIP: 783897AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9800000 | PA      | $9297647.10   | 0.11%             | 2028-08-21      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                          | Marvell Technology, Inc.                                          | CUSIP: 573874104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    466023 | NS      | $17261491.92  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CommonSpirit Health                                               | CommonSpirit Health                                               | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $193714.79    | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Company                                       | Commonwealth Edison Company                                       | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    465000 | PA      | $352274.14    | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2021-R01                      | Connecticut Avenue Securities Trust 2021-R01                      | CUSIP: 20754RAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1450000 | PA      | $1413036.89   | 0.02%             | 2041-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                     | Ginnie Mae II                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41057000 | PA      | $35565347.06  | 0.42%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                                     | Ginnie Mae II                                                     | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44300000 | PA      | $40701954.00  | 0.48%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    285894 | PA      | $267872.56    | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36225BWZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10703 | PA      | $11042.19     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                     | Sabine Pass Liquefaction, LLC                                     | CUSIP: 785592AY2<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   4980000 | PA      | $4945792.38   | 0.06%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Southern California Gas Company                                   | Southern California Gas Company                                   | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   6165000 | PA      | $5696602.47   | 0.07%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4900000 | PA      | $4921437.50   | 0.06%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21177500 | PA      | $19261596.99  | 0.22%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                 | Raytheon Technologies Corporation                                 | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $2486296.78   | 0.03%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Incorporated                                   | UnitedHealth Group Incorporated                                   | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    475000 | PA      | $441629.35    | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Utility Debt Securitization Authority                             | Utility Debt Securitization Authority                             | CUSIP: 91802RAW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    466000 | PA      | $462066.03    | 0.01%             | 2025-12-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Var Energi ASA                                                    | Var Energi ASA                                                    | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | US        |   8750000 | PA      | $9020386.20   | 0.11%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America, Inc.                                 | Volkswagen Group of America, Inc.                                 | CUSIP: 928668BE1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   4370000 | PA      | $4177397.36   | 0.05%             | 2025-05-13      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS1                   | Wells Fargo Commercial Mortgage Trust 2015-NXS1                   | CUSIP: 94989HAQ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |   1885000 | PA      | $1783882.57   | 0.02%             | 2025-04-17      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Texas Electric Market Stabilization Funding N LLC                 | Texas Electric Market Stabilization Funding N LLC                 | CUSIP: 88240TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8015000 | PA      | $7658421.87   | 0.09%             | 2034-08-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BPCE                                                              | BPCE                                                              | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | US        |  10150000 | PA      | $10123944.95  | 0.12%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31418XSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73274 | PA      | $74102.18     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27171 | PA      | $29022.78     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31419BW76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    353362 | PA      | $350122.98    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2021-REV1                            | Ford Credit Auto Owner Trust 2021-REV1                            | CUSIP: 345340AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1390000 | PA      | $1213790.67   | 0.01%             | 2026-04-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2021-REV1                            | Ford Credit Auto Owner Trust 2021-REV1                            | CUSIP: 345340AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1165000 | PA      | $1001873.09   | 0.01%             | 2026-04-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36201TVE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1363 | PA      | $1410.41      | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36291AVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5967 | PA      | $6139.90      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2082 | PA      | $2168.41      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296R2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       384 | PA      | $401.92       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296R3Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       814 | PA      | $849.95       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36296RD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2223 | PA      | $2320.38      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corporation                   | Golden State Tobacco Securitization Corporation                   | CUSIP: 38122NB68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    375000 | PA      | $277427.93    | 0.00%             | 2042-06-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corporation                   | Golden State Tobacco Securitization Corporation                   | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    825000 | PA      | $763612.41    | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Goldman Sachs Group, Inc.                                     | The Goldman Sachs Group, Inc.                                     | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  14496000 | PA      | $14666891.89  | 0.17%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| KLA Corporation                                                   | KLA Corporation                                                   | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     54483 | NS      | $20541725.49  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture Public Limited Company                                  | Accenture Public Limited Company                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | IE        |    160316 | NS      | $42778721.44  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson Controls International Public Limited Company             | Johnson Controls International Public Limited Company             | CUSIP: N/A<br>LEI: 549300XQ6S1GYKGBL205       | Long             | EC               | CORP              | IE        |   1220896 | NS      | $78137344.00  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                            | Federal Home Loan Mortgage Corporation                            | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    319234 | PA      | $318542.31    | 0.00%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36201TKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1723 | PA      | $1767.46      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36201TMX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5053 | PA      | $5137.62      | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 3620A5A90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12059 | PA      | $11870.74     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 3620AEQH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6023 | PA      | $6310.50      | 0.00%             | 2040-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 3620ARV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11886 | PA      | $11415.36     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                     | Sempra Energy                                                     | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $1893817.76   | 0.02%             | 2052-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                             | Treasury, United States Department of                             | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1385000 | PA      | $1256454.69   | 0.01%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 3138M0CZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44418 | PA      | $42666.60     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31414CCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     71160 | PA      | $73602.65     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7031 | PA      | $6961.26      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                       | Federal National Mortgage Association, Inc.                       | CUSIP: 31416H5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23319 | PA      | $23083.10     | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | Government National Mortgage Association                          | CUSIP: 36176ATV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124650 | PA      | $119551.21    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer