# EDGAR Filing Document

**Accession Number:** 0000814679
**File Stem:** 0001752724-25-207600
**Filing Date:** 2025-8
**Character Count:** 1251682
**Document Hash:** 2d7dba695ed1e0d5535b8e418850c839
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207600.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207600

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVANCED SERIES TRUST
- **CENTRAL INDEX KEY:** 0000814679

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05186
- **FILM NUMBER:** 251261660

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 367-8982

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

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

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

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

## Series and Classes Contracts Data

### AST Core Fixed Income Portfolio (Series ID: S000019381)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000053820 | AST Core Fixed Income Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

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

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

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

- **a. Name of Series:** AST Core Fixed Income Portfolio

- **b. EDGAR series identifier (if any):** S000019381

- **c. LEI of Series:** Z44J798WPLL9S5JNKY77

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4468873246.61

**Total Liabilities:** $425189922.95

**Net Assets:** $4043683323.66

**Delayed Delivery Securities:** $23869802.78

**Stand-by Commitments:** $243895675.31

**Cash Not Reported:** $3810139.69

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 968.42868000 | **1-Year:** 156435.09526000 | **5-Year:** 905283.60574000 | **10-Year:** 391296.56755000 | **30-Year:** 28283.61875000

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

- **3-Month:** 578.15462000 | **1-Year:** 13492.71027000 | **5-Year:** 30627.08426000 | **10-Year:** 10476.84233000 | **30-Year:** 500.32473000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000053820 | 0.22%                | -0.72%               | 1.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4252832.00             | $4292657.29                                |
| Month 2  | $-4966879.95             | $-28283015.35                              |
| Month 3  | $-1597303.01             | $49323265.93                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU Index

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS & CO. LLC                          | CDS PETROLEOS MEXICANOS                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $24301.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5582 | PA      | $5839.43      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1035124 | PA      | $867793.17    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1920000 | PA      | $1944226.95   | 0.05%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    545000 | PA      | $535238.81    | 0.01%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ESCROW RITE AID 0.0 31 DEC 2049                  | ESCROW RITE AID 0.0 31 DEC 2049                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59641 | PA      | $0.06         | 0.00%             | 2047-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    168000 | PA      | $111358.25    | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875251 | PA      | $757049.27    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    212256 | PA      | $212056.51    | 0.01%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    985000 | PA      | $1023013.29   | 0.03%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | USD/PEN FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $15373.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR Asset-Based Income Fund - HG ABF             | KKR Asset-Based Income Fund - HG ABF                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3400000 | PA      | $3400000.00   | 0.08%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $229510.29    | 0.01%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     62000 | PA      | $60360.82     | 0.00%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    335000 | PA      | $367592.14    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1105731.15   | 0.03%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    353000 | PA      | $320105.56    | 0.01%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2018-3                                                 | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    574689 | PA      | $563221.41    | 0.01%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-59995.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    177000 | PA      | $143581.69    | 0.00%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trus                   | Citizens Auto Receivables Trust 2024-1                                           | CUSIP: 17331QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1255000 | PA      | $1267349.20   | 0.03%             | 2030-10-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18833.39     | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                        | Auxilior Term Funding 2024-1 LLC                                                 | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440000 | PA      | $1470591.65   | 0.04%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                        | Hess Corp                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    835000 | PA      | $947626.15    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3243007 | PA      | $2738991.56   | 0.07%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36180DPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12531 | PA      | $11712.66     | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                   | CFCRE Commercial Mortgage Trust 2016-C7                                          | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2517018 | PA      | $2474756.79   | 0.06%             | 2054-12-10      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                          | Eni SpA                                                                          | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   1070000 | PA      | $1076788.30   | 0.03%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11811 | PA      | $11719.61     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                 | Paramount Global                                                                 | CUSIP: 925524AX8<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    545000 | PA      | $558169.95    | 0.01%             | 2036-04-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114135 | PA      | $104807.44    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2396131 | PA      | $2177676.06   | 0.05%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924157 | PA      | $746714.28    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NU6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $918868.20    | 0.02%             | 2029-06-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2022-CLS                                                                | CUSIP: 05609XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185000 | PA      | $2204571.26   | 0.05%             | 2027-10-13      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230966 | PA      | $213155.43    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BEVD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3360733 | PA      | $3027227.68   | 0.07%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H6KN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1645151 | PA      | $1474177.33   | 0.04%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                | EOG Resources Inc                                                                | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    930000 | PA      | $942745.91    | 0.02%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DTP Commercial Mortgage Trust                    | DTP Commercial Mortgage Trust 2023-STE2                                          | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $788842.36    | 0.02%             | 2041-01-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| PUGET ENERGY INC                                 | Puget Energy Inc                                                                 | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    563000 | PA      | $544260.86    | 0.01%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    274000 | PA      | $208457.82    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28079 | PA      | $25931.22     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES5                                              | CUSIP: 89183QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679162 | PA      | $1672878.08   | 0.04%             | 2064-09-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK24                                                                  | CUSIP: 06540VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165000 | PA      | $1088500.74   | 0.03%             | 2062-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16976395 | PA      | $14174466.63  | 0.35%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    745000 | PA      | $702658.80    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2242717 | PA      | $1976273.32   | 0.05%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3610064 | PA      | $1721966.21   | 0.04%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2054000 | PA      | $1446398.60   | 0.04%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538567 | PA      | $504991.65    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $1451647.89   | 0.04%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                        | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    146000 | PA      | $124985.00    | 0.00%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | EUR/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10504.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5Q52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10360 | PA      | $10871.92     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563062 | PA      | $494473.85    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H6KD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57592 | PA      | $56252.20     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8CB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       574 | PA      | $602.37       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    428000 | PA      | $420469.06    | 0.01%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    560000 | PA      | $570292.96    | 0.01%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -648000 | NC      | $-272.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412W6C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2070 | PA      | $2121.64      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065000 | PA      | $1075901.87   | 0.03%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $5242582.98   | 0.13%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411DZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1395 | PA      | $1417.46      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384887 | PA      | $356291.97    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1972638.21   | 0.05%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T                   | Tricolor Auto Securitization Trust 2024-1                                        | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281511 | PA      | $282802.14    | 0.01%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $203687.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450750 | PA      | $379215.73    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    475000 | PA      | $420674.24    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-20780.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TFS_18-3-A1                                      | TFS_18-3-A1                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |   2373037 | PA      | $2082512.90   | 0.05%             | 2026-03-15      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130747 | PA      | $122583.58    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                     | Alphabet Inc                                                                     | CUSIP: 02079KAK3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    675000 | PA      | $675333.63    | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | HUF/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $19131.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2890000 | PA      | $2942024.63   | 0.07%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5295 | PA      | $5313.93      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3620C0SS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7779 | PA      | $7251.26      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707646 | PA      | $651183.77    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                   | Carlyle Global Market Strategies CLO 2014-1 Ltd                                  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    129062 | PA      | $129062.29    | 0.00%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                           | Cox Communications Inc                                                           | CUSIP: 224044CU9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3106604.66   | 0.08%             | 2034-09-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    700000 | PA      | $726250.00    | 0.02%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                   | Bain Capital Credit CLO 2023-4 Ltd                                               | CUSIP: 05685EAE0<br>LEI: 254900ZFJ59QPVWB0563 | Long             | ABS-CBDO         | CORP              | JE        |   3375000 | PA      | $3393226.35   | 0.08%             | 2036-10-21      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-58424.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107270 | PA      | $110451.08    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2024-C63                                   | CUSIP: 94990FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14238388 | PA      | $1046330.72   | 0.03%             | 2057-08-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2135562 | PA      | $1870433.07   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1766958.33   | 0.04%             | 2029-01-12      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YAW27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758208 | PA      | $728387.49    | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $199729.41    | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493081 | PA      | $412548.45    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31995000 | PA      | $28110607.03  | 0.70%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                      | Vistra Corp                                                                      | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    925000 | PA      | $946870.87    | 0.02%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548126 | PA      | $563802.32    | 0.01%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KWH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1889 | PA      | $1976.43      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   1005000 | OU      | $0.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4442052.00   | 0.11%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9972294 | PA      | $8349508.30   | 0.21%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2297055.90   | 0.06%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908939 | PA      | $731172.87    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12188039 | PA      | $9461917.19   | 0.23%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    340000 | PA      | $365225.80    | 0.01%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                               | Wendy's Funding LLC                                                              | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   3071981 | PA      | $2716209.62   | 0.07%             | 2051-06-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS                          | Wesco Aircraft Holdings Inc                                                      | CUSIP: 97789LAB2<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |    390000 | PA      | $168271.75    | 0.00%             | 2026-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| AMER AIRLN 15-2 AA PTT                           | American Airlines 2015-2 Class AA Pass Through Trust                             | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104398 | PA      | $101567.99    | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                 | Peruvian Government International Bond                                           | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    915000 | PA      | $913444.50    | 0.02%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918927 | PA      | $908172.97    | 0.02%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136ARFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445350 | PA      | $214927.33    | 0.01%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1683992 | PA      | $1689512.08   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBZ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1236924.91   | 0.03%             | 2032-07-22      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LRRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28809 | PA      | $21716.93     | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   5683000 | PA      | $5516679.69   | 0.14%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| SYNOPSYS INC                                     | Synopsys Inc                                                                     | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    895000 | PA      | $889477.36    | 0.02%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES2                                              | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68193 | PA      | $68777.52     | 0.00%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Commercial Equipment Finance                     | Commercial Equipment Finance 2024-1 LLC                                          | CUSIP: 20166RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062110 | PA      | $1072417.95   | 0.03%             | 2029-07-16      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4LT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2421 | PA      | $2497.83      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3632684 | PA      | $2890605.73   | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                             | Kraft Heinz Foods Co                                                             | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    825000 | PA      | $839811.28    | 0.02%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    880000 | PA      | $879931.25    | 0.02%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    335000 | PA      | $266298.55    | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                  | Zayo Issuer LLC                                                                  | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1709953.40   | 0.04%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                            | Rio Tinto Finance USA PLC                                                        | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    380000 | PA      | $386193.58    | 0.01%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    925000 | PA      | $976486.75    | 0.02%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    142000 | PA      | $110929.67    | 0.00%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWDF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804143 | PA      | $728806.25    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9371106 | PA      | $8299122.18   | 0.21%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                | Herc Holdings Inc                                                                | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104802.53    | 0.00%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FAC0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    362000 | PA      | $301161.71    | 0.01%             | 2044-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574733 | PA      | $565631.41    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       820 | PA      | $839.49       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10820000 | PA      | $10834198.98  | 0.27%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                                | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1841544.98   | 0.05%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28368 | PA      | $27581.89     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    504000 | PA      | $487395.94    | 0.01%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6E22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19436 | PA      | $18949.85     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                     | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1380000 | PA      | $1457804.40   | 0.04%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3229555 | PA      | $2695429.51   | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                            | DuPont de Nemours Inc                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201587.07    | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                         | OCP SA                                                                           | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    609000 | PA      | $630034.86    | 0.02%             | 2034-05-02      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9121 | PA      | $8725.87      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733525 | PA      | $717737.46    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712333 | PA      | $669367.55    | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3020000 | PA      | $3083821.74   | 0.08%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MAKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381582 | PA      | $344205.03    | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                             | Monongahela Power Co                                                             | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $207785.16    | 0.01%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK25                                                                  | CUSIP: 06539WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4372142.40   | 0.11%             | 2063-01-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116753 | PA      | $109987.33    | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                   | Ohio Edison Co                                                                   | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $322119.26    | 0.01%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                       | Evergy Inc                                                                       | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    900000 | PA      | $845810.43    | 0.02%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1823594.09   | 0.05%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3622A2BH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188669 | PA      | $191163.96    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319955 | PA      | $1331363.07   | 0.03%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1563000 | PA      | $1573876.29   | 0.04%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    951521 | PA      | $803960.96    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68171 | PA      | $67994.41     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RITE AID CORP                                    | RITE AID CORP                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170204 | PA      | $0.17         | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CLEVELAND-CLIFFS INC                             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    205000 | PA      | $201866.45    | 0.00%             | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1156000 | PA      | $1125978.68   | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                      | Rad CLO 5 Ltd                                                                    | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    262441 | PA      | $262870.96    | 0.01%             | 2032-07-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                    | Exeter Automobile Receivables Trust 2025-2                                       | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5100000 | PA      | $5235393.27   | 0.13%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | SGD/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-20993.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915491 | PA      | $839071.71    | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15079980 | PA      | $13576829.16  | 0.34%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                     | CD 2017-CD5 Mortgage Trust                                                       | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917000 | PA      | $1866435.10   | 0.05%             | 2050-08-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | Newell Brands Inc                                                                | CUSIP: 651229BE5<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     95000 | PA      | $90873.31     | 0.00%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312928W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3636 | PA      | $3804.17      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | Newell Brands Inc                                                                | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    145000 | PA      | $152694.08    | 0.00%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                              | DT Auto Owner Trust 2023-2                                                       | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2052639.60   | 0.05%             | 2029-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $25003.51     | 0.00%             | 2050-06-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P8EP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64815 | PA      | $63908.35     | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY MUNI WTR FIN                    | New York City Municipal Water Finance Authority                                  | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |    530000 | PA      | $535597.57    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $9365.40      | 0.00%             | 2037-06-05      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $862010.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MBEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245700 | PA      | $196964.88    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792531 | PA      | $695736.55    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| (PIPA070) PGIM Core Government Money Market Fund | (PIPA070) PGIM Core Government Money Market Fund                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  81426117 | NS      | $81426116.84  | 2.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BMTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10551283 | PA      | $15216.00     | 0.00%             | 2025-11-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    695000 | PA      | $674812.02    | 0.02%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                        | Adobe Inc                                                                        | CUSIP: 00724PAJ8<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1280817.67   | 0.03%             | 2030-01-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F03X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171637 | PA      | $157097.00    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276479 | PA      | $284453.81    | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1151 | NC      | $2722479.05   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199715 | PA      | $1194633.98   | 0.03%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3865000 | PA      | $3985002.45   | 0.10%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                          | Sun Communities Operating LP                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   2534000 | PA      | $2244773.95   | 0.06%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                   | ARD Finance SA                                                                   | CUSIP: 00191AAD8<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |    429526 | PA      | $15570.30     | 0.00%             | 2027-06-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410F3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106346 | PA      | $111480.29    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5856640 | PA      | $168941.23    | 0.00%             | 2033-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10290000 | PA      | $10083172.65  | 0.25%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-7                                                | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3746090 | PA      | $3365603.80   | 0.08%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2024-SFR2 Trust                                                             | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1818565.47   | 0.04%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570979 | PA      | $566961.53    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12950 | PA      | $12965.77     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M8J38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804695 | PA      | $729120.15    | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                          | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $949419.03    | 0.02%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                         | Constellation Brands Inc                                                         | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    940000 | PA      | $946980.14    | 0.02%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                      | Cherry Securitization Trust 2025-1                                               | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3850000 | PA      | $3888998.19   | 0.10%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237210 | PA      | $223788.33    | 0.01%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                 | CUSIP: 22822VBB6<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    152000 | PA      | $152907.93    | 0.00%             | 2028-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4335000 | PA      | $4210683.03   | 0.10%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                                                       | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    520000 | PA      | $539692.93    | 0.01%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196705.13    | 0.00%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | Fiserv Inc                                                                       | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    400000 | PA      | $327483.11    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    800000 | PA      | $713822.09    | 0.02%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K99 Mortgage Trust                                                    | CUSIP: 30314FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3146268.18   | 0.08%             | 2052-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                         | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    400000 | PA      | $420914.49    | 0.01%             | 2030-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                       | Henley CLO IV DAC                                                                | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |   1042000 | PA      | $1224355.83   | 0.03%             | 2034-04-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    575000 | PA      | $585451.37    | 0.01%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2354033 | PA      | $2399232.56   | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X7XK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139783 | PA      | $127653.16    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                          | Transcontinental Gas Pipe Line Co LLC                                            | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $382143.59    | 0.01%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| KEYSTONE POWER/CONEMAUGH                         | Keystone Power Pass-Through Holders LLC / Conemaugh Power Pass-Through Holders   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26575 | NS      | $618666.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5071619 | PA      | $4314914.19   | 0.11%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                 | DP World Ltd/United Arab Emirates                                                | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    209000 | PA      | $244806.72    | 0.01%             | 2026-09-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $16335.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3047773 | PA      | $2484212.47   | 0.06%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4988000 | PA      | $-4134905.50  | -0.10%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3620E0CJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291052 | PA      | $299256.64    | 0.01%             | 2060-04-20      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    900000 | PA      | $909450.00    | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BBA7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1120000 | PA      | $1031520.00   | 0.03%             | 2054-05-07      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3500000 | PA      | $3325000.00   | 0.08%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475BY0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1753101.50   | 0.04%             | 2027-07-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                         | FirstEnergy Pennsylvania Electric Co                                             | CUSIP: 591894CE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $459150.18    | 0.01%             | 2028-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-C26                                                    | CUSIP: 05555AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11937658 | PA      | $876665.77    | 0.02%             | 2057-05-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1438362.35   | 0.04%             | 2054-10-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655793 | PA      | $550075.30    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1762737.25   | 0.04%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $949845.78    | 0.02%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484716 | PA      | $455912.39    | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680AZ6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    812000 | PA      | $624247.26    | 0.02%             | 2049-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association            | PHP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $18055.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383P5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2480730 | PA      | $62641.91     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140ANS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2877676 | PA      | $2833282.24   | 0.07%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2674251 | PA      | $2147711.89   | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1436456.14   | 0.04%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    185000 | PA      | $185291.54    | 0.00%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                      | CUSIP: 61691GAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4259940 | PA      | $29673.89     | 0.00%             | 2049-12-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1425000 | PA      | $1496632.04   | 0.04%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| YMCA OF GREATER NY                               | YMCA of Greater New York                                                         | CUSIP: 98425BAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    705000 | PA      | $685801.69    | 0.02%             | 2026-08-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36177RDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18782 | PA      | $17503.53     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                           | CUSIP: 77586RAH3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    224000 | PA      | $191408.00    | 0.00%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411CLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10777 | PA      | $11232.60     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137199 | PA      | $1129700.15   | 0.03%             | 2039-05-19      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553087 | PA      | $505629.02    | 0.01%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137FWN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1663832 | PA      | $51900.58     | 0.00%             | 2050-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547693 | PA      | $437501.67    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209562 | PA      | $198590.16    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1102269.62   | 0.03%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2461 | PA      | $2446.46      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GP3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1592463.04   | 0.04%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    835000 | PA      | $775214.00    | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4080000 | PA      | $4007160.66   | 0.10%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    187000 | PA      | $145388.20    | 0.00%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A4NW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8772 | PA      | $8859.56      | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                               | Realty Income Corp                                                               | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    825000 | PA      | $826097.93    | 0.02%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    694000 | PA      | $610076.77    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411KGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64645 | PA      | $66847.85     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                            | Haleon US Capital LLC                                                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    370000 | PA      | $364743.94    | 0.01%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                   | Stack Infrastructure Issuer LLC                                                  | CUSIP: 85236KAH5<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   1925000 | PA      | $1940818.11   | 0.05%             | 2048-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                                              | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $17574941.50  | 0.43%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3181843 | PA      | $2679793.61   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503339 | PA      | $1312730.50   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    523000 | PA      | $504642.70    | 0.01%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9278600 | PA      | $8899016.01   | 0.22%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ACSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1445469 | PA      | $1330853.84   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                            | Accenture Capital Inc                                                            | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $2216917.21   | 0.05%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600184 | PA      | $1547538.26   | 0.04%             | 2059-09-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    755000 | PA      | $701863.32    | 0.02%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                            | Anchor Mortgage Trust 2025-RTL1                                                  | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1710000 | PA      | $1709965.63   | 0.04%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                         | Public Service Enterprise Group Inc                                              | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    260000 | PA      | $266039.74    | 0.01%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6324 | PA      | $6629.29      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388730 | PA      | $326037.22    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    570000 | PA      | $585238.68    | 0.01%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3176313 | PA      | $3176908.91   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST SPL OBLG REVE                   | Commonwealth of Massachusetts                                                    | CUSIP: 576004HG3<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    961858 | PA      | $954689.14    | 0.02%             | 2031-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                            | Lincoln National Corp                                                            | CUSIP: 534187AW9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    447000 | PA      | $467304.95    | 0.01%             | 2037-10-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        | -12740000 | OU      | $-5176.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513514 | PA      | $431576.74    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3158372 | PA      | $2734423.29   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285834 | PA      | $265664.54    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                             | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    353000 | PA      | $340502.64    | 0.01%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                            | MidAmerican Energy Co                                                            | CUSIP: 595620AN5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1201373.06   | 0.03%             | 2044-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers L                   | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2270000 | PA      | $2291481.69   | 0.06%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620944 | PA      | $523218.11    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137BL7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2531652 | PA      | $2401008.03   | 0.06%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411DR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $486.30       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    336000 | PA      | $309672.28    | 0.01%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14973.82     | 0.00%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FPYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75394 | PA      | $66627.91     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104877.47    | 0.00%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543376 | PA      | $543478.41    | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333465 | PA      | $1328682.68   | 0.03%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC Trust                               | RFM Reremic Trust 2024-FRR2                                                      | CUSIP: 74983PAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1669918.20   | 0.04%             | 2054-02-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                 | Georgia Power Co                                                                 | CUSIP: 373334KY6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    880000 | PA      | $889015.27    | 0.02%             | 2030-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                           | GE HealthCare Technologies Inc                                                   | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    620000 | PA      | $634830.36    | 0.02%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    245000 | PA      | $244384.99    | 0.01%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    192000 | PA      | $219530.94    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2016-LC24                                  | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   2333308 | PA      | $2293219.45   | 0.06%             | 2049-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6N79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52791 | PA      | $54634.72     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3792000 | PA      | $3865133.27   | 0.10%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                    | NYC Commercial Mortgage Trust 2025-3BP                                           | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435000 | PA      | $1423340.63   | 0.04%             | 2042-02-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132JQHS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124017 | PA      | $121121.29    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                             | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    350000 | PA      | $356657.25    | 0.01%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    292000 | PA      | $282092.98    | 0.01%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2116517.40   | 0.05%             | 2041-02-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2181688 | PA      | $1736279.08   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                          | Southwestern Electric Power Co                                                   | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    415000 | PA      | $418174.57    | 0.01%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    615000 | PA      | $425278.65    | 0.01%             | 2031-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1622907.35   | 0.04%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | JPMCC Commercial Mortgage Securities Trust 2017-JP7                              | CUSIP: 465968AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2918165.10   | 0.07%             | 2050-09-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                    | EchoStar Corp                                                                    | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1773453.30   | 0.04%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140W0HD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9936040 | PA      | $9299947.31   | 0.23%             | 2054-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3549 | PA      | $3724.70      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $2114.05      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | TRY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $29859.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1947661.48   | 0.05%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $261478.67    | 0.01%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383R4A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5098984 | PA      | $565349.29    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45281 | PA      | $42865.51     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    445000 | PA      | $444355.74    | 0.01%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WAFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554809 | PA      | $500053.92    | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183758 | PA      | $173957.62    | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CGXS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1494796 | PA      | $1495077.73   | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303000 | PA      | $1971163.03   | 0.05%             | 2057-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    969531 | PA      | $916208.81    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   4301000 | PA      | $3833804.31   | 0.09%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2019-2                                          | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2382000 | PA      | $2322861.13   | 0.06%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17665 | PA      | $16490.41     | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4045911 | PA      | $3369821.74   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-F                                 | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1458521 | PA      | $1291559.05   | 0.03%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    246000 | PA      | $251240.40    | 0.01%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                          | Tennessee Valley Authority Generic Strip                                         | CUSIP: 88059E5F7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    147000 | PA      | $115487.26    | 0.00%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117312.68    | 0.00%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    419000 | PA      | $316124.53    | 0.01%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                                              | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    280000 | PA      | $268663.42    | 0.01%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0PP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1667059 | PA      | $1739219.56   | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                     | CUSIP: 29250NAZ8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    495000 | PA      | $466774.56    | 0.01%             | 2029-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    985000 | PA      | $704505.35    | 0.02%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2629450 | PA      | $2269541.86   | 0.06%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76813.90     | 0.00%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    546000 | PA      | $539300.80    | 0.01%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L4TF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2395 | PA      | $2498.97      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128503.72    | 0.00%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20628 | PA      | $19448.41     | 0.00%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                           | Marvell Technology Inc                                                           | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $936667.75    | 0.02%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD CALL VERSUS KRW PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   1571000 | NC      | $20.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                          | O'Reilly Automotive Inc                                                          | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    634000 | PA      | $630060.91    | 0.02%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417C4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535582 | PA      | $1440195.34   | 0.04%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18631 | PA      | $18120.10     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1490000 | PA      | $1530742.19   | 0.04%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    995000 | PA      | $875886.13    | 0.02%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE SIX                           | Goodman US Finance Six LLC                                                       | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $383108.50    | 0.01%             | 2034-10-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                   | Var Energi ASA                                                                   | CUSIP: 92212WAF7<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    440000 | PA      | $449825.38    | 0.01%             | 2030-05-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/IDR FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $39895.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38384U2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1670519 | PA      | $345501.09    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $444819.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370201 | PA      | $323449.85    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                         | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $187975.54    | 0.00%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                    | CoreWeave Inc                                                                    | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    165000 | PA      | $168692.19    | 0.00%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                                                       | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    170000 | PA      | $178531.03    | 0.00%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383PNA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1986419 | PA      | $48651.38     | 0.00%             | 2052-03-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2626848 | PA      | $2326356.74   | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $992722.52    | 0.02%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                             | Colombia Government International Bond                                           | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    405000 | PA      | $418972.50    | 0.01%             | 2030-04-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    475000 | PA      | $458912.90    | 0.01%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    905000 | PA      | $902764.88    | 0.02%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                       | Carvana Co                                                                       | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    800000 | PA      | $947273.29    | 0.02%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8576321 | PA      | $6845776.28   | 0.17%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                     | AGL Core CLO 8 LTD                                                               | CUSIP: 00851KAK1<br>LEI: 254900IPV3KA57E31I16 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4511250.00   | 0.11%             | 2038-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                         | CSX Corp                                                                         | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    950000 | PA      | $664817.97    | 0.02%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                     | NiSource Inc                                                                     | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    460000 | PA      | $393896.44    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219564 | PA      | $217860.52    | 0.01%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | BRL CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |  -1665000 | NC      | $-173033.20   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36296QK32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198287 | PA      | $200908.93    | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4242000 | PA      | $3326999.71   | 0.08%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                       | Federal National Mortgage Association                                            | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   1950000 | PA      | $2203689.36   | 0.05%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | INR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-18149.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivab                   | Securitized Term Auto Receivables Trust                                          | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    365950 | PA      | $368590.31    | 0.01%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/PHP FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4835.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2024-RTL5                                                   | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2692419.21   | 0.07%             | 2039-09-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | USD/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2004.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                     | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    229000 | PA      | $235870.00    | 0.01%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                               | Zegona Finance PLC                                                               | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |   1150000 | PA      | $1225083.50   | 0.03%             | 2029-07-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3977 | PA      | $3946.27      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Venator Materials PLC                            | Venator Materials PLC                                                            | CUSIP: 000000000<br>LEI: 549300WFXC4YL5IHX316 | Long             | EC               | CORP              | GB        |       688 | NS      | $137600.00    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31403MX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7143 | PA      | $7319.18      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | TWD/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-92962.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11101600 | PA      | $7894278.38   | 0.20%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    585000 | PA      | $526852.35    | 0.01%             | 2031-04-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JLL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177563 | PA      | $177400.92    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                   | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $1527925.37   | 0.04%             | 2050-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111439 | PA      | $443465.70    | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                            | DB Master Finance LLC                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   2016850 | PA      | $1758597.20   | 0.04%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                         | Bacardi Ltd / Bacardi-Martini BV                                                 | CUSIP: 05635JAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    359000 | PA      | $357660.21    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2024-5YR10                                                                 | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3381526.83   | 0.08%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36180HBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5491 | PA      | $5120.47      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224456 | PA      | $216460.59    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1630000 | PA      | $1723762.01   | 0.04%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    555000 | PA      | $569336.08    | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                        | Chesapeake Funding II LLC                                                        | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1131449 | PA      | $1137057.47   | 0.03%             | 2035-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    790000 | PA      | $698720.14    | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6EZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13436 | PA      | $13206.79     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179U6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336505 | PA      | $1217966.12   | 0.03%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | EUR/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-20617.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | BRL/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $174456.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RR Ltd                                           | RR 23 Ltd                                                                        | CUSIP: 75000GAV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   4575000 | PA      | $4583166.38   | 0.11%             | 2035-10-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -278000 | NC      | $-1419.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11247 | PA      | $10940.86     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur                   | Bridgecrest Lending Auto Securitization Trust 2024-4                             | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2257256.70   | 0.06%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BCU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000703 | PA      | $493111.30    | 0.01%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                   | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9408.65      | 0.00%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2195000 | PA      | $1970896.95   | 0.05%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                           | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $415152.00    | 0.01%             | 2037-02-10      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219585 | PA      | $203946.03    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386022 | PA      | $377252.16    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    350000 | PA      | $340148.59    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                         | Cleco Corporate Holdings LLC                                                     | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    310000 | PA      | $288126.88    | 0.01%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2023-2                                          | CUSIP: 68269HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4090606.40   | 0.10%             | 2036-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                              | Cheniere Energy Inc                                                              | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    990000 | PA      | $988543.30    | 0.02%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192454 | PA      | $179960.55    | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4938 | PA      | $5182.41      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800500.00    | 0.02%             | 2042-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514280 | PA      | $502524.95    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665062 | PA      | $552899.98    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-474671.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    310000 | PA      | $286570.47    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132WVVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4210700 | PA      | $3375716.87   | 0.08%             | 2036-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143515 | PA      | $141335.10    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                               | Analog Devices Inc                                                               | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    750000 | PA      | $545689.66    | 0.01%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J56M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55511 | PA      | $54127.69     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT                         | United Airlines 2015-1 Class AA Pass Through Trust                               | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     81899 | PA      | $79424.78     | 0.00%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383RFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    651911 | PA      | $17375.26     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | BRL CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   1665000 | NC      | $0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                            | DB Master Finance LLC                                                            | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   1983075 | PA      | $1836193.79   | 0.05%             | 2051-11-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2131859 | PA      | $1812130.18   | 0.04%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2019-C16                                           | CUSIP: 90276YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2063000 | PA      | $1966571.05   | 0.05%             | 2052-04-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2945950 | PA      | $2646500.93   | 0.07%             | 2056-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1837000 | PA      | $1600609.24   | 0.04%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |   9700000 | OU      | $8997.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188970 | PA      | $174180.99    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    130000 | PA      | $112128.89    | 0.00%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FU                         | Ares Strategic Income Fund                                                       | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2352670.05   | 0.06%             | 2030-09-09      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                            | Micron Technology Inc                                                            | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    180000 | PA      | $187664.21    | 0.00%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $701715.74    | 0.02%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2223798 | PA      | $2128716.05   | 0.05%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    644000 | PA      | $530768.70    | 0.01%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140AF6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484193 | PA      | $1484471.57   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-RPL4 Trust                                                             | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830210 | PA      | $789087.93    | 0.02%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                            | Whistler Pipeline LLC                                                            | CUSIP: 96337RAB8<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    755000 | PA      | $770286.48    | 0.02%             | 2031-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                             | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1312213.03   | 0.03%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13998 | PA      | $13646.01     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | INR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |  -2021000 | NC      | $-35091.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3502106 | PA      | $3198355.44   | 0.08%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1017974.58   | 0.03%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                 | Beazer Homes USA Inc                                                             | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |    475000 | PA      | $478511.43    | 0.01%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                              | Consumers Energy Co                                                              | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302176.13    | 0.01%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HE5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60840 | PA      | $57101.01     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -905000 | PA      | $-934391.33   | -0.02%            | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907305 | PA      | $893476.81    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177872 | PA      | $1028935.53   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                            | Entergy Louisiana LLC                                                            | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375392.83    | 0.01%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMUR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588097 | PA      | $1278174.06   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BK3<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |   1010000 | PA      | $1033253.33   | 0.03%             | 2032-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                            | Oglethorpe Power Corp                                                            | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    430000 | PA      | $379990.60    | 0.01%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3607587 | PA      | $2938440.96   | 0.07%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    540000 | PA      | $538666.47    | 0.01%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373911 | PA      | $73707.83     | 0.00%             | 2054-08-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165626 | PA      | $163833.15    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1053000 | PA      | $809263.55    | 0.02%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    634000 | PA      | $643165.05    | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553902 | PA      | $444038.91    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69962 | PA      | $65371.73     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS TWD PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |  -1123000 | NC      | $-9113.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                              | Dominion Energy Inc                                                              | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    592000 | PA      | $672196.98    | 0.02%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3906093 | PA      | $3107969.28   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                            | Time Warner Cable LLC                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1117000 | PA      | $1153913.81   | 0.03%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                      | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4297517.84   | 0.11%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| NEWMONT / NEWCREST FIN                           | Newmont Corp / Newcrest Finance Pty Ltd                                          | CUSIP: 65163LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1226561.49   | 0.03%             | 2034-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1570000 | PA      | $1572698.44   | 0.04%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AV7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122076 | PA      | $117804.35    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RITE AID CORP                                    | Rite Aid Corp                                                                    | CUSIP: 767754CR3<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |     63298 | PA      | $0.06         | 0.00%             | 2031-08-30      | Floating      | 11.32%                | No            |                  3 | On Loan: —       |
| FED CAISSES DESJARDINS                           | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   1305000 | PA      | $1338540.85   | 0.03%             | 2029-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                         | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CM2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1461103.76   | 0.04%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1360000 | PA      | $1327509.19   | 0.03%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                  | Israel Government International Bond                                             | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1495000 | PA      | $1525483.05   | 0.04%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2077000 | PA      | $1884438.84   | 0.05%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1299903 | PA      | $1130357.96   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                              | Sherwin-Williams Co/The                                                          | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   1514000 | PA      | $1370273.52   | 0.03%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                   | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   2609000 | PA      | $2510402.73   | 0.06%             | 2030-02-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208104 | PA      | $1074045.86   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X4TZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526938 | PA      | $468705.19    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                          | Liberty Interactive LLC                                                          | CUSIP: 530715AG6<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |    494377 | PA      | $49474.01     | 0.00%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                           | GE HealthCare Technologies Inc                                                   | CUSIP: 36267VAK9<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    620000 | PA      | $659382.32    | 0.02%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| AETNA INC                                        | Aetna Inc                                                                        | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    469000 | PA      | $506870.49    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | ZAR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -337000 | NC      | $-3938.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385627 | PA      | $2365646.32   | 0.06%             | 2052-02-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XA2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2195084 | PA      | $1844402.51   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    151000 | PA      | $136243.67    | 0.00%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F070674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2795000 | PA      | $2942301.95   | 0.07%             | 2055-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                                | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1302873.89   | 0.03%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NY & PRESBYTERIAN HOSPIT                         | New York and Presbyterian Hospital/The                                           | CUSIP: 649322AD6<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $800381.47    | 0.02%             | 2056-08-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                           | Boston Scientific Corp                                                           | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $946827.38    | 0.02%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                          | Exxon Mobil Corp                                                                 | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    205000 | PA      | $145274.11    | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                | ITC Holdings Corp                                                                | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2584477.48   | 0.06%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1824000 | PA      | $1932595.61   | 0.05%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1580757 | PA      | $1588870.09   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1342776.85   | 0.03%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31409HPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2085 | PA      | $2081.10      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |   1453590 | PA      | $1456069.53   | 0.04%             | 2031-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KGFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2579 | PA      | $2657.92      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    234000 | PA      | $197003.79    | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2020-2                                                  | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2579846 | PA      | $2442614.72   | 0.06%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38378PE79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2161863 | PA      | $1985107.93   | 0.05%             | 2044-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                              | DBGS 2018-C1 Mortgage Trust                                                      | CUSIP: 23307DBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $2186312.21   | 0.05%             | 2051-10-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NKJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1473646 | PA      | $1459780.60   | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                            | Aon North America Inc                                                            | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1756526.70   | 0.04%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    448000 | PA      | $429709.63    | 0.01%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59863 | PA      | $58051.47     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                         | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37050.88     | 0.00%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AKYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615656 | PA      | $516869.27    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | Solventum Corp                                                                   | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1601000 | PA      | $1647336.43   | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | BRL CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    276000 | NC      | $0.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                           | Mondelez International Inc                                                       | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1335434.49   | 0.03%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                         | Liberty Mutual Group Inc                                                         | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2002.20      | 0.00%             | 2029-02-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $812507.04    | 0.02%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                            | Norfolk Southern Corp                                                            | CUSIP: 655844CV8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60286.12     | 0.00%             | 2035-05-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | PA      | $536162.16    | 0.01%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201366 | PA      | $195965.70    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CORONADO FINANCE PTY LTD                         | Coronado Finance Pty Ltd                                                         | CUSIP: 21979LAB2<br>LEI: 549300NS5FS0W548RE27 | Long             | DBT              | CORP              | AU        |    505000 | PA      | $377487.50    | 0.01%             | 2029-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1574677.49   | 0.04%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    278000 | NC      | $163.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBW6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    575000 | PA      | $582344.58    | 0.01%             | 2035-03-14      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042475<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2405000 | PA      | $-2389477.36  | -0.06%            | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1843913 | PA      | $1583806.83   | 0.04%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                         | Met Tower Global Funding                                                         | CUSIP: 58989V2K9<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1765821.87   | 0.04%             | 2028-01-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| MCDONALD'S CORP                                  | McDonald's Corp                                                                  | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    337000 | PA      | $326022.49    | 0.01%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9R86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2376702 | PA      | $2196471.65   | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1934452 | PA      | $1412149.81   | 0.03%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | JPY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4169.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2022922.53   | 0.05%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                             | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    552000 | PA      | $562471.94    | 0.01%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3418000 | PA      | $3464912.33   | 0.09%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2017-C38                                   | CUSIP: 95001MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407873 | PA      | $399494.34    | 0.01%             | 2050-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5017500.00   | 0.12%             | 2037-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1513959 | PA      | $1219033.22   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    521000 | PA      | $518078.42    | 0.01%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                | Imperial Fund Mortgage Trust 2021-NQM3                                           | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4474198 | PA      | $3895408.01   | 0.10%             | 2056-11-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2024-SFR2 Trust                                                             | CUSIP: 00179UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3439000 | PA      | $3221562.69   | 0.08%             | 2041-11-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117027 | PA      | $108909.26    | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3618JNW35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2280187 | PA      | $2245763.47   | 0.06%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOHL CAPITAL LTD                                 | Gohl Capital Ltd                                                                 | CUSIP: 000000000<br>LEI: 254900TF7OK6KSDZA888 | Long             | DBT              | CORP              | IM        |    208000 | PA      | $204698.00    | 0.01%             | 2027-01-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1146114.49   | 0.03%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                        | Ball Corp                                                                        | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    325000 | PA      | $333703.87    | 0.01%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                               | Panama Government International Bond                                             | CUSIP: 698299BV5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    380000 | PA      | $348032.50    | 0.01%             | 2054-03-28      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                             | Taylor Morrison Communities Inc                                                  | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    249000 | PA      | $247567.77    | 0.01%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2467230 | PA      | $2099626.40   | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS ZAR PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -276000 | NC      | $-18.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686000 | PA      | $1517746.27   | 0.04%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44878 | PA      | $42174.15     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                         | Icon Investments Six DAC                                                         | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $207163.80    | 0.01%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52872 | PA      | $48773.32     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                            | ARI Fleet Lease Trust 2023-A                                                     | CUSIP: 00218GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635560 | PA      | $636688.55    | 0.02%             | 2032-02-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224798.38    | 0.01%             | 2026-03-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                              | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8750000 | PA      | $8778437.50   | 0.22%             | 2037-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1286136.88   | 0.03%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489563 | PA      | $505688.58    | 0.01%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                               | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $622136.58    | 0.02%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                    | AIB Group PLC                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2500000 | PA      | $2642247.50   | 0.07%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X32J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216289 | PA      | $212861.33    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                     | NiSource Inc                                                                     | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    280000 | PA      | $286752.71    | 0.01%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                         | Southwick Park CLO LLC                                                           | CUSIP: 846031AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    239084 | PA      | $239423.73    | 0.01%             | 2032-07-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                     | Voya CLO 2014-2 Ltd                                                              | CUSIP: 92912VAY1<br>LEI: 549300L8S87K3SMP0R77 | Long             | ABS-CBDO         | CORP              | KY        |      7009 | PA      | $7009.41      | 0.00%             | 2030-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                            | Reynolds American Inc                                                            | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    264000 | PA      | $277462.86    | 0.01%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-C28                                                    | CUSIP: 07336WBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7782958 | PA      | $605744.54    | 0.01%             | 2057-09-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $192386.07    | 0.00%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | TRS TRSBENCH23 INDEX                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |         1 | NC      | $-26281.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                                                       | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $4150625.76   | 0.10%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3131Y8KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650208 | PA      | $650022.57    | 0.02%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755832 | PA      | $636398.03    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                    | CoreVest American Finance 2020-3 Trust                                           | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484676 | PA      | $475857.45    | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4812868 | PA      | $4555242.27   | 0.11%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                               | Aqua Finance Issuer Trust 2025-A                                                 | CUSIP: 038394AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2453000 | PA      | $2480230.75   | 0.06%             | 2050-12-19      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831959 | PA      | $669237.16    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                       | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    155000 | PA      | $149747.01    | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18200000 | PA      | $12512500.00  | 0.31%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                        | Hess Corp                                                                        | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1188000 | PA      | $1345851.46   | 0.03%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                              | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    109000 | PA      | $105833.93    | 0.00%             | 2029-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| HOME DEPOT INC                                   | Home Depot Inc/The                                                               | CUSIP: 437076DF6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71968.57     | 0.00%             | 2054-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    265000 | PA      | $269803.43    | 0.01%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791073 | PA      | $656646.31    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -17 | NC      | $-7225.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183825 | PA      | $174704.83    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                     | NNN REIT Inc                                                                     | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1024556.76   | 0.03%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                            | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $1849453.47   | 0.05%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808142 | PA      | $696833.54    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                         | Trans-Allegheny Interstate Line Co                                               | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $264520.40    | 0.01%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F                   | Ford Credit Auto Owner Trust 2021-REV2                                           | CUSIP: 345285AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1025000 | PA      | $988409.76    | 0.02%             | 2034-05-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697226 | PA      | $630971.88    | 0.02%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169802 | PA      | $151460.30    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9002 | PA      | $8391.45      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     66000 | PA      | $47394.67     | 0.00%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1497000 | PA      | $1316503.42   | 0.03%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2024-4                                         | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045000 | PA      | $1048882.28   | 0.03%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    900000 | PA      | $731392.36    | 0.02%             | 2029-02-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2112432 | PA      | $2122074.49   | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                              | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865000 | PA      | $1919354.12   | 0.05%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                         | Manufacturers & Traders Trust Co                                                 | CUSIP: 55279HAW0<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1008850.13   | 0.02%             | 2028-01-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FHFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72584 | PA      | $64023.23     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936960 | PA      | $935075.28    | 0.02%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31413JS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12553 | PA      | $13119.94     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE CHEM CO                              | CORNERSTONE CHEM CO                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     16552 | NS      | $127450.40    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2024-R02                                     | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $767406.48    | 0.02%             | 2044-02-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RJK1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3140000 | PA      | $3207598.55   | 0.08%             | 2030-12-20      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $204618.14    | 0.01%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    736000 | PA      | $640268.19    | 0.02%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                           | Taco Bell Funding LLC                                                            | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3438750 | PA      | $3126914.18   | 0.08%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28527 | PA      | $27767.59     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963295 | PA      | $896522.86    | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30161 | PA      | $29325.32     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $998771.11    | 0.02%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    495000 | PA      | $497375.01    | 0.01%             | 2037-01-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    560000 | PA      | $519483.11    | 0.01%             | 2031-05-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1278499.02   | 0.03%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                   | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $174313.51    | 0.00%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    215000 | PA      | $215078.93    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                         | MPH Acquisition Holdings LLC                                                     | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    377469 | PA      | $311459.04    | 0.01%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | JPY/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11552.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                                | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    257000 | PA      | $257215.41    | 0.01%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    304000 | PA      | $306852.83    | 0.01%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140L0RM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327687 | PA      | $246956.16    | 0.01%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9634943 | PA      | $8559582.10   | 0.21%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | Southern California Gas Co                                                       | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    590000 | PA      | $579908.11    | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                         | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    525000 | PA      | $543668.95    | 0.01%             | 2027-07-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2024-2                                    | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511223.65    | 0.01%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22439000 | PA      | $-20862140.11 | -0.52%            | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    397000 | PA      | $267791.24    | 0.01%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M7SW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640782 | PA      | $591430.40    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KYT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1810712 | PA      | $1583513.85   | 0.04%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322987 | PA      | $284326.79    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    790000 | PA      | $810085.50    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                             | Chart Industries Inc                                                             | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    441000 | PA      | $461905.91    | 0.01%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    550000 | PA      | $447608.34    | 0.01%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    515000 | PA      | $503704.36    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901896 | PA      | $759736.04    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8190000 | PA      | $7008848.44   | 0.17%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                                   | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    505000 | PA      | $511404.84    | 0.01%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2296285.07   | 0.06%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| FIRSTENERGY TRANSMISSION                         | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114758.16    | 0.00%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7900000 | PA      | $7778076.69   | 0.19%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1906614 | PA      | $1650733.29   | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CLAIRE'S PRIVATE PLACEMENT                       | CLAIRE'S PRIVATE PLACEMENT                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       795 | NS      | $0.08         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2121426 | PA      | $2044817.23   | 0.05%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                            | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    640000 | PA      | $637120.00    | 0.02%             | 2029-02-22      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Cre                   | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2450000 | PA      | $2480834.23   | 0.06%             | 2032-12-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5062000 | PA      | $5014939.22   | 0.12%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368644 | PA      | $358814.88    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                   | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   1700000 | PA      | $2339800.80   | 0.06%             | 2032-07-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4994478 | PA      | $4892774.80   | 0.12%             | 2039-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L5RV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3014 | PA      | $3126.42      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    787000 | PA      | $805458.98    | 0.02%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                               | Steel Dynamics Inc                                                               | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377027.65    | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | CLP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1005.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4946000 | PA      | $4558533.96   | 0.11%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                 | NJ 2025-WBRK                                                                     | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1265351.01   | 0.03%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77580 | PA      | $74844.72     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $945038.90    | 0.02%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                     | Alphabet Inc                                                                     | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1429782.28   | 0.04%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $557451.84    | 0.01%             | 2027-08-14      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE CHEM CO LLC                          | Cornerstone Chemical Co LLC                                                      | CUSIP: 21925AAQ8<br>LEI: BL03B05TRUKQ14Y1HC46 | Long             | DBT              | CORP              | US        |    374231 | PA      | $355519.45    | 0.01%             | 2029-05-07      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1031000 | PA      | $909438.66    | 0.02%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1702121.94   | 0.04%             | 2040-06-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715067 | PA      | $702853.15    | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                              | Carrier Global Corp                                                              | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $367176.83    | 0.01%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XHLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15409 | PA      | $15051.02     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                      | Equinix Inc                                                                      | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    550000 | PA      | $539048.71    | 0.01%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L6BS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418692 | PA      | $430427.31    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON                          | Bank of New York Mellon/The                                                      | CUSIP: 06405LAH4<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253419.80    | 0.01%             | 2029-04-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                         | Penske Truck Leasing Co Lp / PTL Finance Corp                                    | CUSIP: 709599BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1600142.68   | 0.04%             | 2029-03-30      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| OCP CLO Ltd                                      | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |     21068 | PA      | $21084.23     | 0.00%             | 2031-04-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                           | Eskom Holdings SOC Ltd                                                           | CUSIP: 29646AAC0<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    551000 | PA      | $557198.75    | 0.01%             | 2028-08-10      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                    | Sierra Timeshare 2024-3 Receivables Funding LLC                                  | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2342062 | PA      | $2338384.55   | 0.06%             | 2041-08-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500937 | PA      | $459236.78    | 0.01%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BQTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1285635 | PA      | $1313713.49   | 0.03%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10020000 | PA      | $5777156.25   | 0.14%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    478000 | NC      | $108.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                  | CDS CDX.NA.IG.44.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1858649.45  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1645838.58   | 0.04%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                           | GE HealthCare Technologies Inc                                                   | CUSIP: 36267VAF0<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1303486.24   | 0.03%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| SFS Auto Receivables Securitiz                   | SFS Auto Receivables Securitization Trust 2023-1                                 | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $205509.68    | 0.01%             | 2031-02-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | MXN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16586.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    532000 | PA      | $476601.65    | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                         | Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $293162.43    | 0.01%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31413HTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194 | PA      | $202.85       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $916315.24    | 0.02%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811659 | PA      | $690965.91    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22901 | PA      | $22549.49     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746685 | PA      | $648500.21    | 0.02%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1710494 | PA      | $1551791.35   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8RW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378412 | PA      | $344660.85    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    251000 | PA      | $250613.46    | 0.01%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                                              | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4494000 | PA      | $2039021.92   | 0.05%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                     | CD 2019-CD8 Mortgage Trust                                                       | CUSIP: 12515BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4923518 | PA      | $4563268.71   | 0.11%             | 2057-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    775621 | PA      | $761724.81    | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                         | Citizens Financial Group Inc                                                     | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    700000 | PA      | $724855.22    | 0.02%             | 2032-07-23      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       566 | NC      | $689088.48    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $19815.26     | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3285932 | PA      | $2440445.92   | 0.06%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                   | CSAIL 2018-CX12 Commercial Mortgage Trust                                        | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425000 | PA      | $1403324.04   | 0.03%             | 2051-08-15      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| EOG RESOURCES INC                                | EOG Resources Inc                                                                | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    625000 | PA      | $632350.66    | 0.02%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                         | Element Fleet Management Corp                                                    | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1800000 | PA      | $1894832.46   | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860187 | PA      | $691062.07    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28875000 | PA      | $27530507.81  | 0.68%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-                   | AutoNation Finance Trust 2025-1                                                  | CUSIP: 05330QAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2024485.40   | 0.05%             | 2030-08-12      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                          | SCF Equipment Leasing 2024-1 LLC                                                 | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $971204.38    | 0.02%             | 2032-01-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    270000 | PA      | $278478.07    | 0.01%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4392986 | PA      | $4465960.21   | 0.11%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4598000 | PA      | $4169534.45   | 0.10%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2018-C12                                           | CUSIP: 90353DAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2382000 | PA      | $2347937.40   | 0.06%             | 2051-08-15      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2094842 | PA      | $1985039.31   | 0.05%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    525000 | PA      | $520986.80    | 0.01%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                         | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $310647.39    | 0.01%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HB2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7360899 | PA      | $98753.82     | 0.00%             | 2030-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1732383.15   | 0.04%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec                   | American Credit Acceptance Receivables Trust 2025-1                              | CUSIP: 02528DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2517890.75   | 0.06%             | 2031-08-12      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                   | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3105711.00   | 0.08%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                               | Panama Government International Bond                                             | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    430000 | PA      | $427420.00    | 0.01%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                          | Laboratory Corp of America Holdings                                              | CUSIP: 50540RBA9<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    940000 | PA      | $925985.12    | 0.02%             | 2032-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    105000 | PA      | $64043.12     | 0.00%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85179 | PA      | $68624.37     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                          | Wisconsin Power and Light Co                                                     | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    760000 | PA      | $777098.75    | 0.02%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1553000 | PA      | $1414565.61   | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367730 | PA      | $1279979.00   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                             | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    145000 | PA      | $146342.99    | 0.00%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    920000 | PA      | $939573.98    | 0.02%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                            | SBNA Auto Lease Trust 2024-A                                                     | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $754540.95    | 0.02%             | 2029-01-22      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    255000 | PA      | $175039.08    | 0.00%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FE5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019060 | PA      | $939095.28    | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2090000 | PA      | $2090645.18   | 0.05%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150569 | PA      | $1130675.57   | 0.03%             | 2031-10-08      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                  | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2000000 | PA      | $2072418.60   | 0.05%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: —       |
| WASTE MANAGEMENT INC                             | Waste Management Inc                                                             | CUSIP: 94106LCE7<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225957.73    | 0.01%             | 2035-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886771 | PA      | $741848.53    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | USD/ZAR FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6567.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIV OF VIRGINIA VA UNIV REVEN                   | University of Virginia                                                           | CUSIP: 915217XA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1205000 | PA      | $693520.79    | 0.02%             | 2119-09-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DM8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1140166.24   | 0.03%             | 2027-11-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                         | Aptiv Swiss Holdings Ltd                                                         | CUSIP: 03837AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |   1285000 | PA      | $1238567.81   | 0.03%             | 2034-09-13      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                         | International Business Machines Corp                                             | CUSIP: 459200LG4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1386851.66   | 0.03%             | 2030-02-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                                | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1602631.53   | 0.04%             | 2027-07-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                         | Columbia Pipelines Holding Co LLC                                                | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $843312.37    | 0.02%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2019-GC42                                           | CUSIP: 36257UAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4520000 | PA      | $4210255.70   | 0.10%             | 2052-09-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2024-5                                    | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2783000 | PA      | $2807322.31   | 0.07%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2613307 | PA      | $418983.41    | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/MXN FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $31646.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | USD/CZK FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-30479.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| St Pauls CLO                                     | St Paul's CLO V DAC                                                              | CUSIP: 000000000<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |   3985469 | PA      | $4686225.27   | 0.12%             | 2030-02-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846530 | PA      | $766808.95    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |   -551000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                     | AutoZone Inc                                                                     | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    340000 | PA      | $347930.81    | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                      | Taurus CMBS                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    650000 | PA      | $892222.50    | 0.02%             | 2035-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    435000 | PA      | $393798.81    | 0.01%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA6                                          | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    670026 | PA      | $675118.77    | 0.02%             | 2042-09-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296PXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1185 | PA      | $1209.90      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $195212.64    | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $202611.95    | 0.01%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6056995 | PA      | $5938262.20   | 0.15%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4627051.75   | 0.11%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604516 | PA      | $578047.33    | 0.01%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                              | Dominion Energy Inc                                                              | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    455000 | PA      | $458345.62    | 0.01%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179U6T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1778230 | PA      | $1519634.29   | 0.04%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    792000 | PA      | $536187.19    | 0.01%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                 | BOF VII AL Funding Trust I                                                       | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    583312 | PA      | $592961.82    | 0.01%             | 2032-07-26      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                      | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -8000000 | OU      | $-615.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                    | Boeing Co/The                                                                    | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    310000 | PA      | $333408.91    | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    462000 | PA      | $443788.82    | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                 | Georgia Power Co                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1041851.26   | 0.03%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                         | Rogers Communications Inc                                                        | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    420000 | PA      | $419903.06    | 0.01%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    300000 | PA      | $289358.72    | 0.01%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES3                                                    | CUSIP: 74942AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749900 | PA      | $759594.31    | 0.02%             | 2044-05-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    925000 | PA      | $937270.82    | 0.02%             | 2031-05-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T                   | Tricolor Auto Securitization Trust 2024-3                                        | CUSIP: 89617AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409172 | PA      | $409738.11    | 0.01%             | 2028-06-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-947929.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105715 | PA      | $109022.80    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | USD/KRW FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $16226.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                | CF Industries Inc                                                                | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    750000 | PA      | $747018.39    | 0.02%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                        | Aetna Inc                                                                        | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    283000 | PA      | $233186.37    | 0.01%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    972266 | PA      | $773888.90    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                               | Vodafone Group PLC                                                               | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $684696.96    | 0.02%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515684 | PA      | $1582550.32   | 0.04%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2501560 | PA      | $14324.43     | 0.00%             | 2070-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501106 | PA      | $482355.53    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | ZAR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1624.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                         | Lima Metro Line 2 Finance Ltd                                                    | CUSIP: 000000000<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |     79532 | PA      | $80645.35     | 0.00%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                   | Halliburton Co                                                                   | CUSIP: 406216AY7<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    475000 | PA      | $556099.50    | 0.01%             | 2039-09-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| BNPP IP Euro CLO                                 | BNPP AM Euro CLO 2018 DAC                                                        | CUSIP: 000000000<br>LEI: 635400VGNU8T62DHAX91 | Long             | ABS-CBDO         | CORP              | IE        |   2079717 | PA      | $2442814.77   | 0.06%             | 2031-04-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                   | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    123000 | PA      | $116068.28    | 0.00%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1305750.00   | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1899329 | PA      | $1713195.04   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                         | Citizens Financial Group Inc                                                     | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    145000 | PA      | $156348.83    | 0.00%             | 2035-04-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                         | JP MORGAN MORTGAGE TRUST 2025-VIS2                                               | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1401043.42   | 0.03%             | 2063-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| TEXAS ST                                         | State of Texas                                                                   | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |    400000 | PA      | $411627.53    | 0.01%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022644 | PA      | $889155.17    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7999693 | PA      | $322787.60    | 0.01%             | 2030-09-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132749 | PA      | $111543.63    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                 | Bank of Montreal                                                                 | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1385000 | PA      | $1352140.74   | 0.03%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576322 | PA      | $503251.62    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/TWD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7465.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Trust 2025-SL1                                     | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3713768 | PA      | $3734279.96   | 0.09%             | 2067-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676325 | PA      | $631364.65    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1379697 | PA      | $1157485.35   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A9M68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7035 | PA      | $6992.76      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411CTQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3864 | PA      | $3974.21      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1483328.54   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31382MDG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       169 | PA      | $173.47       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2448930.25   | 0.06%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268251 | PA      | $282753.13    | 0.01%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | THB/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3038.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                         | Willis North America Inc                                                         | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1977173.96   | 0.05%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                        | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1220546.74   | 0.03%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| CLUE OPCO LLC                                    | Clue Opco LLC                                                                    | CUSIP: 36267QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1738000 | PA      | $1842166.51   | 0.05%             | 2031-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5GM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72071 | PA      | $75633.45     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                          | Honeywell International Inc                                                      | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    640000 | PA      | $643812.27    | 0.02%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| UNITED AIR 2016-2 AA PTT                         | United Airlines 2016-2 Class AA Pass Through Trust                               | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    603043 | PA      | $569344.67    | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34553 | PA      | $32156.20     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                           | Lendmark Funding Trust 2021-1                                                    | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1740272.44   | 0.04%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                            | Micron Technology Inc                                                            | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1631669.52   | 0.04%             | 2032-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                         | Pioneer Natural Resources Co                                                     | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    700000 | PA      | $620636.81    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                           | Cox Communications Inc                                                           | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    138000 | PA      | $120846.71    | 0.00%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    390000 | PA      | $342446.49    | 0.01%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    526000 | PA      | $523347.87    | 0.01%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                 | Berry Global Inc                                                                 | CUSIP: 08576BAB8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2390000 | PA      | $2513347.20   | 0.06%             | 2031-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2744236 | PA      | $2744751.66   | 0.07%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz                   | SFS Auto Receivables Securitization Trust 2023-1                                 | CUSIP: 78398AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102331.39    | 0.00%             | 2030-01-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                               | CUSIP: 05964HBB0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $823568.48    | 0.02%             | 2030-03-14      | Fixed         | 5.54%                 | No            |                  2 | On Loan: —       |
| KIMCO REALTY OP LLC                              | Kimco Realty OP LLC                                                              | CUSIP: 49446RAW9<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |   2013000 | PA      | $1848127.65   | 0.05%             | 2030-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    366000 | PA      | $285211.54    | 0.01%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9784 | PA      | $9707.97      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS BRL PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -551000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -478000 | NC      | $-4711.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                         | Columbia Pipelines Holding Co LLC                                                | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    343000 | PA      | $344572.83    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7308 | PA      | $7251.16      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229243 | PA      | $1028582.06   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $56.62        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8113 | PA      | $7562.56      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41435 | PA      | $40551.60     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                         | Mill City Mortgage Loan Trust 2019-GS1                                           | CUSIP: 59981BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4425000 | PA      | $3983315.97   | 0.10%             | 2059-07-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                                       | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    900000 | PA      | $875564.79    | 0.02%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RUTGERS NJ ST UNIV                               | Rutgers The State University of New Jersey                                       | CUSIP: 783186NH8<br>LEI: 549300BOYDHNW8J60112 | Long             | DBT              | MUN               | US        |    400000 | PA      | $403768.74    | 0.01%             | 2040-05-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                               | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   2136000 | PA      | $2291589.49   | 0.06%             | 2029-06-26      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        17 | NC      | $106.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67274 | PA      | $62275.77     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    700000 | PA      | $702625.00    | 0.02%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25122 | PA      | $23564.45     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                 | ABN AMRO Bank NV                                                                 | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $999525.50    | 0.02%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    280000 | PA      | $272258.60    | 0.01%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                      | Nutrien Ltd                                                                      | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1710000 | PA      | $1718390.80   | 0.04%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-24499.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                            | Time Warner Cable LLC                                                            | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1194079.76   | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XP3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821345 | PA      | $836134.66    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140AEL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4954765 | PA      | $4899448.91   | 0.12%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1634316.85   | 0.04%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                             | Shell Finance US Inc                                                             | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    326000 | PA      | $275922.88    | 0.01%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | USD/INR FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4820.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    430000 | PA      | $401303.46    | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418SFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2013 | PA      | $2005.56      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                       | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $2711733.01   | 0.07%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -281000 | NC      | $-850.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    750000 | PA      | $742953.38    | 0.02%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XP4M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547736 | PA      | $459884.03    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBN5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    450000 | PA      | $427282.83    | 0.01%             | 2065-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                             | CUSIP: 78017DAC2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1335000 | PA      | $1358821.07   | 0.03%             | 2031-02-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2017-C6                                            | CUSIP: 90276UAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882404 | PA      | $1838156.23   | 0.05%             | 2050-12-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                          | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    750000 | PA      | $708523.20    | 0.02%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                        | College Ave Student Loans 2021-A LLC                                             | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37995 | PA      | $37747.88     | 0.00%             | 2051-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QM6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80646 | PA      | $73122.88     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137978 | PA      | $125675.91    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                               | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2796000 | PA      | $2842025.23   | 0.07%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    410000 | PA      | $348710.04    | 0.01%             | 2047-07-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                 | Alabama Power Co                                                                 | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    462000 | PA      | $328157.26    | 0.01%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       389 | PA      | $406.82       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2187535.12   | 0.05%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                     | Hilton Grand Vacations Trust 2024-3                                              | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2185393 | PA      | $2208503.69   | 0.05%             | 2040-08-27      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    508000 | PA      | $473545.37    | 0.01%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                 | Paramount Global                                                                 | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    276000 | PA      | $239782.98    | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2014934 | PA      | $2015312.28   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | Solventum Corp                                                                   | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1555133.67   | 0.04%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1251517.32   | 0.03%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MNK Common Stock                                 | MNK Common Stock                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       145 | NS      | $12325.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    163000 | PA      | $147448.72    | 0.00%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158338 | PA      | $142266.02    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BJ4Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4543911 | PA      | $4350946.38   | 0.11%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -9711000 | PA      | $-9287808.99  | -0.23%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53324000 | PA      | $52082550.62  | 1.29%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                        | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90134 | PA      | $82298.80     | 0.00%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                             | OneMain Finance Corp                                                             | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    585000 | PA      | $601602.39    | 0.01%             | 2029-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65307 | PA      | $60783.16     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Shops at Crystals Trust 2016-C                   | Shops at Crystals Trust 2016-CSTL                                                | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1078000 | PA      | $1053984.32   | 0.03%             | 2036-07-05      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 3142G5QB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2108913 | PA      | $325690.33    | 0.01%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    670000 | PA      | $673278.37    | 0.02%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    350000 | PA      | $334100.03    | 0.01%             | 2027-04-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X7KF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657297 | PA      | $622128.47    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2378966 | PA      | $2069853.67   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283855 | PA      | $1021593.85   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                               | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2810000 | PA      | $2855468.89   | 0.07%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2020-NQM                                     | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341402 | PA      | $330816.63    | 0.01%             | 2060-05-24      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                            | Huntington Bancshares Inc/OH                                                     | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    550000 | PA      | $563344.76    | 0.01%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $171325.41    | 0.00%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38765000 | PA      | $39824980.47  | 0.98%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1162505 | PA      | $1059938.79   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   3115000 | PA      | $2807859.70   | 0.07%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64962 | PA      | $62120.30     | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                          | John Deere Capital Corp                                                          | CUSIP: 24422EYD5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2077409.64   | 0.05%             | 2028-06-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    340000 | PA      | $286960.00    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207019 | PA      | $1053982.27   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1076367.07   | 0.03%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1525676 | PA      | $1286977.26   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36178CVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10241 | PA      | $9546.75      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                | General Motors Co                                                                | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1611000 | PA      | $1519483.08   | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319471 | PA      | $268458.91    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables                    | Exeter Automobile Receivables Trust 2023-3                                       | CUSIP: 301989AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94651 | PA      | $94741.26     | 0.00%             | 2027-09-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4480490 | PA      | $4192801.54   | 0.10%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                             | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                       | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117929 | PA      | $111001.70    | 0.00%             | 2034-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HLB68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3879618 | PA      | $265646.34    | 0.01%             | 2055-05-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                         | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $930601.90    | 0.02%             | 2033-04-06      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWC50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308264 | PA      | $231860.91    | 0.01%             | 2052-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125656 | PA      | $115795.54    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129373.78    | 0.00%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                             | Monongahela Power Co                                                             | CUSIP: 610202BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    770000 | PA      | $751470.05    | 0.02%             | 2043-12-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140AVHU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4724993 | PA      | $4524301.74   | 0.11%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418E2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639704 | PA      | $612188.45    | 0.02%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                | EOG Resources Inc                                                                | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    595000 | PA      | $581970.93    | 0.01%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164804 | PA      | $145891.21    | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2069307 | PA      | $1783636.76   | 0.04%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                            | CUSIP: 04685A4E8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1751669.74   | 0.04%             | 2027-01-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31403KTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9877 | PA      | $10067.73     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    275000 | PA      | $279507.50    | 0.01%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES4                                              | CUSIP: 89182QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571136 | PA      | $1564139.27   | 0.04%             | 2064-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | BRL/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $36620.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768130 | PA      | $721319.32    | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                | Entergy Texas Inc                                                                | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   2084000 | PA      | $1466173.83   | 0.04%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                         | Constellation Brands Inc                                                         | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    300000 | PA      | $275265.79    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    195000 | PA      | $226900.20    | 0.01%             | 2027-04-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6HY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       388 | PA      | $406.36       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143892 | PA      | $143564.45    | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -485000 | NC      | $-0.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT                         | United Airlines 2016-1 Class AA Pass Through Trust                               | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70094 | PA      | $66976.12     | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1162318.53   | 0.03%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1344804 | PA      | $1229488.06   | 0.03%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2019-1                                     | CUSIP: 68267EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378500 | PA      | $377227.46    | 0.01%             | 2027-09-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                          | Hungary Government International Bond                                            | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    580000 | PA      | $583915.00    | 0.01%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                        | CUSIP: 031162BK5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    855000 | PA      | $805663.17    | 0.02%             | 2041-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    575000 | PA      | $589824.08    | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XVKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14273 | PA      | $13796.07     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2024-BNK48                                                                  | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8931018 | PA      | $742241.74    | 0.02%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12370000 | PA      | $8709253.13   | 0.22%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                            | Haleon US Capital LLC                                                            | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    510000 | PA      | $492976.30    | 0.01%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust                   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141229 | PA      | $138366.17    | 0.00%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    225000 | PA      | $235967.76    | 0.01%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922390 | PA      | $770951.17    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    225000 | PA      | $230596.70    | 0.01%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109132 | PA      | $107222.82    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                         | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    600000 | PA      | $630373.39    | 0.02%             | 2028-11-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901854 | PA      | $870703.03    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681375 | PA      | $542610.27    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A8VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2979 | PA      | $2964.53      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5030501.50   | 0.12%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    520000 | PA      | $523956.31    | 0.01%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    855000 | PA      | $859543.38    | 0.02%             | 2040-06-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                               | Seasoned Loans Structured Transaction Trust Series 2024-2                        | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3635999 | PA      | $3647391.96   | 0.09%             | 2034-10-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                             | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    440000 | PA      | $418402.86    | 0.01%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57559 | PA      | $51756.85     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    526000 | PA      | $534805.13    | 0.01%             | 2028-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6A73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2056 | PA      | $2148.76      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5020000 | PA      | $4974043.41   | 0.12%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312943RS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217667 | PA      | $210784.05    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37471.21     | 0.00%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LWEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948496 | PA      | $875458.79    | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -281000 | NC      | $-850.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2019-3                                       | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1419350 | PA      | $1368027.29   | 0.03%             | 2058-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BALN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2959599 | PA      | $478812.52    | 0.01%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411FGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8021 | PA      | $8250.53      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                        | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291660.40    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147768 | PA      | $141304.52    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804165 | PA      | $755997.53    | 0.02%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-B                                         | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3595000 | PA      | $3595443.62   | 0.09%             | 2029-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                       | PacifiCorp                                                                       | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1165857.51   | 0.03%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36241KT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46976 | PA      | $47586.85     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245833 | PA      | $994057.31    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460836 | PA      | $459454.11    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                          | O'Reilly Automotive Inc                                                          | CUSIP: 67103HAN7<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    310000 | PA      | $307904.15    | 0.01%             | 2034-08-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    728000 | PA      | $739455.88    | 0.02%             | 2030-01-10      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6439795 | PA      | $5366945.51   | 0.13%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1403284 | PA      | $1193216.13   | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    921505 | PA      | $731197.70    | 0.02%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2024-RTL1                                    | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   2185000 | PA      | $2201765.29   | 0.05%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    562000 | NC      | $46.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H65R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3146468 | PA      | $2974789.66   | 0.07%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                   | Americredit Automobile Receivables Trust 2023-1                                  | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1837147.86   | 0.05%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus                   | CarMax Select Receivables Trust 2025-A                                           | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5100000 | PA      | $5214822.42   | 0.13%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       482 | NC      | $360189.59    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Trust 2025-NQM2                                    | CUSIP: 36272EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1304273.36   | 0.03%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WMWR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650777 | PA      | $610220.66    | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9390294 | PA      | $8719001.41   | 0.22%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Total Bond Market ETF                   | Vanguard Total Bond Market ETF                                                   | CUSIP: 921937835<br>LEI: N/A                  | Long             | EC               | RF                | US        |   1124045 | NS      | $82763433.35  | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XUAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149453 | PA      | $136473.99    | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2024-BNK47                                                                  | CUSIP: 06540GAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11257055 | PA      | $649240.54    | 0.02%             | 2057-06-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3100000.00   | 0.08%             | 2041-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24078 | PA      | $22407.93     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                          | Aircastle Ltd / Aircastle Ireland DAC                                            | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    865000 | PA      | $870966.08    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312944TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161682 | PA      | $156400.49    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                               | Voyager Parent LLC                                                               | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    335000 | PA      | $349155.68    | 0.01%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                      | Vistra Corp                                                                      | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2927873.00   | 0.07%             | N/A             | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                         | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    180000 | PA      | $179020.80    | 0.00%             | 2027-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227569 | PA      | $214514.29    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M95X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116525 | PA      | $114821.69    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                              | Reach ABS Trust 2025-1                                                           | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1347168.26   | 0.03%             | 2032-08-16      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                   | BOCA Commercial Mortgage Trust 2024-BOCA                                         | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4665000 | PA      | $4676662.50   | 0.12%             | 2041-08-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1259270.37   | 0.03%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1723628.01   | 0.04%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220359 | PA      | $196235.18    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259225.18    | 0.01%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    640000 | PA      | $586364.72    | 0.01%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Cre                   | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1990000 | PA      | $2013628.46   | 0.05%             | 2032-12-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258280 | PA      | $251632.49    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                 | BOF VII AL Funding Trust I                                                       | CUSIP: 097093AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225800 | PA      | $229448.53    | 0.01%             | 2032-07-26      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    568000 | PA      | $533971.42    | 0.01%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1761174 | PA      | $1477775.18   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    151000 | PA      | $117777.72    | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II,                   | Compass Datacenters Issuer II LLC                                                | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1855000 | PA      | $1857037.35   | 0.05%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36179BZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8549 | PA      | $7969.25      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                             | Saudi Arabian Oil Co                                                             | CUSIP: 80414L2Q7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    275000 | PA      | $249906.25    | 0.01%             | 2064-07-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98336 | PA      | $92350.74     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GK4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $2005188.74   | 0.05%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267391 | PA      | $238879.05    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                 | RCO VIII Mortgage LLC 2025-3                                                     | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196781 | PA      | $195016.72    | 0.00%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D9P81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2278994 | PA      | $1959633.33   | 0.05%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1973 | PA      | $2039.57      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                             | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1089526.84   | 0.03%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FM86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165710 | PA      | $164423.62    | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | PLN/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2824.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410F5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7243 | PA      | $7591.88      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRTKL                                            | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2866193.40   | 0.07%             | 2038-09-17      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136A3NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1822000 | PA      | $1714583.63   | 0.04%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    280000 | PA      | $274003.76    | 0.01%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                        | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2915330 | PA      | $460338.95    | 0.01%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137BGY37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2123230 | PA      | $1941081.91   | 0.05%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2023-BNK45                                                                  | CUSIP: 06541BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5801906 | PA      | $320953.32    | 0.01%             | 2056-02-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1321740.21   | 0.03%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HLJ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4363179 | PA      | $88976.56     | 0.00%             | 2035-02-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| MIZUHO FRN 08JUL31                               | MIZUHO FRN 08JUL31                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1095000.00   | 0.03%             | 2031-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                              | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $796056.32    | 0.02%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       997 | NS      | $56579.75     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                         | Take-Two Interactive Software Inc                                                | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1563482.80   | 0.04%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                         | Ameriprise Financial Inc                                                         | CUSIP: 03076CAP1<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1590969.58   | 0.04%             | 2035-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $144362.84    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                       | Flagship Credit Auto Trust 2022-3                                                | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2247000 | PA      | $2245706.40   | 0.06%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                           | CenterPoint Energy Resources Corp                                                | CUSIP: 15189WAH3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    251000 | PA      | $253390.86    | 0.01%             | 2041-01-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AWWM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313196 | PA      | $251365.25    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2798617 | PA      | $468489.60    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1292473 | PA      | $1082663.35   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11660000 | PA      | $10785021.94  | 0.27%             | 2057-08-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK26                                                                  | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5935191 | PA      | $5681634.76   | 0.14%             | 2063-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1713804.52   | 0.04%             | 2028-07-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 31329JPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216182 | PA      | $202843.97    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                 | Georgia Power Co                                                                 | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    315000 | PA      | $317680.61    | 0.01%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L53M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207836 | PA      | $218145.74    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    417000 | PA      | $380445.74    | 0.01%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXK90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       465 | PA      | $487.93       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2019-GC43                                    | CUSIP: 17328HBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3008000 | PA      | $2779861.85   | 0.07%             | 2052-11-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    869000 | PA      | $582745.19    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1943494 | PA      | $1613024.32   | 0.04%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    824551 | PA      | $834447.28    | 0.02%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                           | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W10     | CUSIP: 040104LM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64599 | PA      | $61917.87     | 0.00%             | 2034-10-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620406 | PA      | $1419239.40   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $64637.77     | 0.00%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                         | KLA Corp                                                                         | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    900000 | PA      | $905213.12    | 0.02%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3252301.32   | 0.08%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11375000 | PA      | $11541157.70  | 0.29%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29144 | PA      | $26958.43     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BS6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3950768 | PA      | $259811.18    | 0.01%             | 2054-10-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2224484 | PA      | $1979624.76   | 0.05%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    385000 | PA      | $375061.18    | 0.01%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                               | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1210000 | PA      | $1248295.65   | 0.03%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    375000 | PA      | $382184.99    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                 | RELX Capital Inc                                                                 | CUSIP: 74949LAF9<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    930000 | PA      | $941963.15    | 0.02%             | 2030-03-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XRLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336468 | PA      | $328975.26    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660472 | PA      | $591185.24    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WEQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066524 | PA      | $953110.26    | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                       | Nuveen LLC                                                                       | CUSIP: 67080LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $276049.21    | 0.01%             | 2030-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LABL INC                                         | LABL Inc                                                                         | CUSIP: 50168QAE5<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46278.36     | 0.00%             | 2028-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552405 | PA      | $463528.41    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                | Newell Brands Inc                                                                | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    190000 | PA      | $184769.60    | 0.00%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383YAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1976368 | PA      | $37237.14     | 0.00%             | 2052-08-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                 | Alabama Power Co                                                                 | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    187000 | PA      | $146220.59    | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                         | Icon Investments Six DAC                                                         | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $203912.58    | 0.01%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                 | DT Midstream Inc                                                                 | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    920000 | PA      | $938403.06    | 0.02%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995000 | PA      | $1005659.73   | 0.02%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    756441 | PA      | $765291.95    | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142040 | PA      | $119449.05    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YLYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113927 | PA      | $101974.61    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                               | Ohio Power Co                                                                    | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1818405.74   | 0.04%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1767340 | PA      | $1329330.14   | 0.03%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    555000 | PA      | $548298.45    | 0.01%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    375000 | PA      | $348141.59    | 0.01%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                          | KeyCorp                                                                          | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    920000 | PA      | $930705.57    | 0.02%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879838 | PA      | $758559.78    | 0.02%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FPYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89567 | PA      | $79189.79     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2021-1                                     | CUSIP: 682687AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $221281.25    | 0.01%             | 2030-11-14      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    245000 | PA      | $254611.31    | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH                            | Cablevision Lightpath LLC                                                        | CUSIP: 12687GAB5<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |    275000 | PA      | $266416.72    | 0.01%             | 2028-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                         | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    575000 | PA      | $580031.25    | 0.01%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599660 | PA      | $534789.42    | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417CGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194937 | PA      | $183052.67    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    151000 | PA      | $154504.45    | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $604827.68    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-149547.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620001 | PA      | $566695.90    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                      | Legacy Mortgage Asset Trust 2025-PR1                                             | CUSIP: 52476AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2493064.75   | 0.06%             | 2061-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1115902.46   | 0.03%             | 2033-09-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    321000 | PA      | $203117.77    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292HNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $263.67       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI                   | Bay Area Toll Authority                                                          | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1015000 | PA      | $1067034.55   | 0.03%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    600000 | PA      | $611118.85    | 0.02%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                           | Cascade MH Asset Trust 2024-MH1                                                  | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2778379 | PA      | $2838410.16   | 0.07%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2994571 | PA      | $2807062.38   | 0.07%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                               | Province of Quebec Canada                                                        | CUSIP: 74815HCB6<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    330000 | PA      | $335638.94    | 0.01%             | 2026-02-27      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67063 | PA      | $68887.48     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | EUR CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -482000 | NC      | $-4769.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336701 | PA      | $270228.27    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable                   | Westlake Automobile Receivables Trust 2023-1                                     | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1941874.48   | 0.05%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                         | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    300000 | PA      | $309940.50    | 0.01%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410C5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6710 | PA      | $7033.60      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-SCHATZ                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -6 | NC      | $1090.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318333 | PA      | $278464.33    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    614000 | PA      | $619613.92    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWNU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10912000 | PA      | $10695113.42  | 0.26%             | 2031-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11615000 | PA      | $10609576.56  | 0.26%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432823 | PA      | $1253200.30   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XC6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327129 | PA      | $285895.97    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    675000 | PA      | $633016.21    | 0.02%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    435000 | PA      | $490150.52    | 0.01%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GSB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2916063 | PA      | $2969395.55   | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1543448.81   | 0.04%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                         | TotalEnergies Capital SA                                                         | CUSIP: 89157XAF8<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $746252.72    | 0.02%             | 2064-09-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                              | CNH Equipment Trust 2023-A                                                       | CUSIP: 12664QAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715000 | PA      | $720205.92    | 0.02%             | 2030-10-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1171176.14   | 0.03%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36241KVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157196 | PA      | $159241.22    | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133C1RE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3903739 | PA      | $3840212.30   | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                         | Caterpillar Financial Services Corp                                              | CUSIP: 14913UAX8<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1781942.07   | 0.04%             | 2030-01-08      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| CHICAGO MERCANTILE EXCHANGE INC.                 | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         8 | NC      | $5000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4625000 | PA      | $4685341.80   | 0.12%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410PCR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7505 | PA      | $7694.77      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -17710000 | PA      | $-17705948.31 | -0.44%            | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9585 | PA      | $10059.06     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GRP LLC- WARRANTS                 | DIAMOND SPORTS GRP LLC- WARRANTS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     58081 | NS      | $12893.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                            | Texas Instruments Inc                                                            | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2158079.03   | 0.05%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                            | Quest Diagnostics Inc                                                            | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $548077.06    | 0.01%             | 2033-11-30      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   4470000 | PA      | $4541589.73   | 0.11%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                   | Merrill Lynch Mortgage Investors Trust Series 2003-WMC3                          | CUSIP: 5899292D9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40084 | PA      | $39809.99     | 0.00%             | 2034-06-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2386614 | PA      | $1984237.11   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    500000 | PA      | $503085.75    | 0.01%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NEK3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    325000 | PA      | $315939.96    | 0.01%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| YARA INTERNATIONAL ASA                           | Yara International ASA                                                           | CUSIP: 984851AH8<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | DBT              | CORP              | NO        |   1250000 | PA      | $1389087.50   | 0.03%             | 2032-11-14      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL LFE GLB FND II                         | Principal Life Global Funding II                                                 | CUSIP: 74256LEY1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1206674.47   | 0.03%             | 2029-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    245000 | PA      | $261428.02    | 0.01%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                         | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    653000 | PA      | $587657.27    | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117058.32    | 0.00%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3131Y3GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121857 | PA      | $121671.11    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    246000 | PA      | $213331.06    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                          | Allied Universal Holdco LLC                                                      | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    322000 | PA      | $336620.34    | 0.01%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2975499 | PA      | $2589493.05   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3155000 | PA      | $2346130.26   | 0.06%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1214290.28   | 0.03%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $2084421.40   | 0.05%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2320640 | PA      | $2315188.58   | 0.06%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775358 | PA      | $649063.98    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12610000 | PA      | $6058710.94   | 0.15%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410SNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2511 | PA      | $2575.91      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                         | Plains All American Pipeline LP                                                  | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    820000 | PA      | $843187.97    | 0.02%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | TRS TREASURY BOND                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-164950.41   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $71510.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    350000 | PA      | $350035.74    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                         | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    378000 | PA      | $342804.42    | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FQNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28764 | PA      | $28015.69     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418BRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208837 | PA      | $204064.13    | 0.01%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                         | Bellis Acquisition Co PLC                                                        | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $1268782.01   | 0.03%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60135 | PA      | $56413.50     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJ6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145163 | PA      | $141577.06    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                   | S&P Global Inc                                                                   | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    600000 | PA      | $545110.10    | 0.01%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1075708 | PA      | $975265.55    | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU                   | New Jersey Turnpike Authority                                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    438000 | PA      | $522901.83    | 0.01%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| AST PGIM Fixed Income Central Fund               | AST PGIM Fixed Income Central Fund                                               | CUSIP: 000000000<br>LEI: 5493004PPIB4NJOLH005 | Long             | EC               | RF                | US        |   6899642 | NS      | $79414874.55  | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| CISCO SYSTEMS INC                                | Cisco Systems Inc                                                                | CUSIP: 17275RBS0<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |    515000 | PA      | $529688.22    | 0.01%             | 2031-02-26      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    562000 | NC      | $46.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC                                      | Ovintiv Inc                                                                      | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1135398.60   | 0.03%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6532 | PA      | $6847.54      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business                   | Perimeter Master Note Business Trust                                             | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4298194.86   | 0.11%             | 2030-12-16      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753305 | PA      | $1584173.81   | 0.04%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    195000 | PA      | $204207.45    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS CLP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    551000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2199000 | PA      | $1586467.19   | 0.04%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $218796.88    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERALTO CORP                                     | Veralto Corp                                                                     | CUSIP: 92338CAB9<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |    305000 | PA      | $308656.22    | 0.01%             | 2026-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                    | Goldentree Loan Management US Clo 9 Ltd                                          | CUSIP: 38138JAN3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4514669.10   | 0.11%             | 2037-04-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                   | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3746395 | PA      | $3607344.46   | 0.09%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1100000 | PA      | $1095270.00   | 0.03%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    187126 | PA      | $187107.17    | 0.00%             | 2030-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AFFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2041 | PA      | $2012.87      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2023-R08                                     | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691951 | PA      | $694094.62    | 0.02%             | 2043-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTIT                         | Cassa Depositi e Prestiti SpA                                                    | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |   1600000 | PA      | $1661790.56   | 0.04%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBF9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2635000 | PA      | $1276443.18   | 0.03%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 31425UZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1397457 | PA      | $1376442.37   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CURATORS OF THE UNIV OF MISSOU                   | Curators of the University of Missouri/The                                       | CUSIP: 231266GC5<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |     85000 | PA      | $86142.06     | 0.00%             | 2041-11-01      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                               | Southwest Gas Corp                                                               | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   1014000 | PA      | $911304.43    | 0.02%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK18                                                                  | CUSIP: 065402AZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $958129.77    | 0.02%             | 2062-05-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FALABELLA SA                                     | Falabella SA                                                                     | CUSIP: 30607FAA8<br>LEI: 5493004CKJQ7H391LM41 | Long             | DBT              | CORP              | CL        |   1075000 | PA      | $939550.00    | 0.02%             | 2032-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $139.37       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                     | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    395000 | PA      | $401239.46    | 0.01%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                               | Panama Government International Bond                                             | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    255000 | PA      | $194539.50    | 0.00%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                       | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    695000 | PA      | $701301.03    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2269074 | PA      | $1914135.57   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461679 | PA      | $420380.44    | 0.01%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2025-CES1                                              | CUSIP: 89183HAA2<br>LEI: 254900FMI2GPXLO84795 | Long             | ABS-MBS          | CORP              | US        |   1072141 | PA      | $1076935.43   | 0.03%             | 2055-02-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245975 | PA      | $234918.53    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                      | Equinor ASA                                                                      | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    505000 | PA      | $418919.32    | 0.01%             | 2040-04-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR11 Trust                                            | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2352371.25   | 0.06%             | 2039-01-17      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                 | VB-S1 Issuer LLC - VBTEL                                                         | CUSIP: 91823ABC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2165000 | PA      | $2192878.92   | 0.05%             | 2054-05-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411XZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5367 | PA      | $5608.64      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H96B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7581101 | PA      | $6069153.51   | 0.15%             | 2055-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36180FFA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5252 | PA      | $4895.69      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                            | Mineral Resources Ltd                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    150000 | PA      | $153375.00    | 0.00%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410U3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4016 | PA      | $4209.20      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                   | Chase Home Lending Mortgage Trust 2023-RPL1                                      | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360471 | PA      | $1249085.81   | 0.03%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                    | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8149466 | PA      | $7031305.31   | 0.17%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4563355 | PA      | $4030847.94   | 0.10%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2024-RTL3 Trust                                                              | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283000 | PA      | $2295243.27   | 0.06%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                       | Sprint LLC                                                                       | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105908.39    | 0.00%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2521.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354931 | PA      | $355317.96    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2689000 | PA      | $2391833.68   | 0.06%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Inv                   | Center Street Lending Resi-Investor ABS Mortgage Trust 2024-RTL1                 | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3060000 | PA      | $3094714.48   | 0.08%             | 2029-10-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                             | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    225000 | PA      | $231397.30    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312927YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4206 | PA      | $4401.56      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31413FGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3819 | PA      | $4003.60      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2019-GC41                                    | CUSIP: 17328FAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2063000 | PA      | $1920695.70   | 0.05%             | 2056-08-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                     | Bridge 2022-SFR1 Trust                                                           | CUSIP: 10805VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4489411.95   | 0.11%             | 2037-11-17      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                  | Cigna Group/The                                                                  | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1052000 | PA      | $987638.80    | 0.02%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410UQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5962 | PA      | $6145.77      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138E7DY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5238 | PA      | $5200.39      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150979 | PA      | $956210.64    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457088 | PA      | $1288645.52   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25977 | PA      | $25297.33     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383RWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1747747 | PA      | $46832.46     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                             | DH Europe Finance II Sarl                                                        | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |   1150000 | PA      | $921082.38    | 0.02%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                               | Cenovus Energy Inc                                                               | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     53000 | PA      | $56957.14     | 0.00%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                            | Whistler Pipeline LLC                                                            | CUSIP: 96337RAC6<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172285.06    | 0.00%             | 2034-09-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    470000 | PA      | $469899.58    | 0.01%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901260 | PA      | $725693.11    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                            | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    396000 | PA      | $402336.00    | 0.01%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                   | Ohio Edison Co                                                                   | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $380153.55    | 0.01%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2016-3                                       | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103377 | PA      | $97749.05     | 0.00%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS BRL PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    337000 | NC      | $21.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HUMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5700000 | PA      | $5098106.96   | 0.13%             | 2034-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                  | Sands China Ltd                                                                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    396000 | PA      | $397841.40    | 0.01%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    495000 | PA      | $422058.35    | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                              | CommonSpirit Health                                                              | CUSIP: 20268JAS2<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   3145000 | PA      | $3160055.41   | 0.08%             | 2034-12-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                   | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7050425 | PA      | $415929.97    | 0.01%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                         | Manufacturers & Traders Trust Co                                                 | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2554409.03   | 0.06%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H4GG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2476330 | PA      | $401162.17    | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119558 | PA      | $100583.70    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                             | CUSIP: 378272BQ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    255000 | PA      | $275833.19    | 0.01%             | 2033-10-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1392000 | PA      | $1408008.00   | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1907701 | PA      | $1599346.86   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3297 | PA      | $3378.77      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3622A2CN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213344 | PA      | $216140.26    | 0.01%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Interface Security System                        | Interface Security System                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1277356 | PA      | $958017.11    | 0.02%             | 2028-08-07      | Floating      | 11.60%                | No            |                  3 | On Loan: No      |
| REPUBLIC OF SERBIA                               | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    630000 | PA      | $608298.92    | 0.02%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                          | Public Service Co of Oklahoma                                                    | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1125019.28   | 0.03%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                               | Cenovus Energy Inc                                                               | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    111000 | PA      | $98311.92     | 0.00%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    948000 | PA      | $811874.77    | 0.02%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    492000 | PA      | $483110.50    | 0.01%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK30                                                                  | CUSIP: 06541UBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2331991.25   | 0.06%             | 2053-12-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M62J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1387 | PA      | $1449.10      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    158000 | PA      | $138634.73    | 0.00%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                           | RR 23 Ltd                                                                        | CUSIP: 75000GBK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   4575000 | PA      | $4575000.00   | 0.11%             | 2037-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    560000 | PA      | $575804.12    | 0.01%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                               | Trane Technologies Financing Ltd                                                 | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    750000 | PA      | $771420.53    | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $148206.03    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173334.67    | 0.00%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136A1GG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554868 | PA      | $1484390.52   | 0.04%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                 | Norinchukin Bank/The                                                             | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   1830000 | PA      | $1865556.35   | 0.05%             | 2028-03-09      | Fixed         | 5.43%                 | No            |                  2 | On Loan: —       |
| CALPINE CORP                                     | Calpine Corp                                                                     | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    478000 | PA      | $477554.37    | 0.01%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Ferrellgas Partners LP                           | Ferrellgas Partners LP                                                           | CUSIP: 315293308<br>LEI: 529900YP52A6C5K57L34 | Long             | EC               | CORP              | US        |      3871 | NS      | $504452.46    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    310000 | PA      | $320172.44    | 0.01%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                    | BAMLL Re-REMIC Trust 2025-FRR5                                                   | CUSIP: 05494BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3839800.80   | 0.09%             | 2052-09-27      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933204 | PA      | $944792.78    | 0.02%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5034938 | PA      | $35273.77     | 0.00%             | 2026-03-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                                 | Carlyle Euro CLO 2021-2 DAC                                                      | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |   3810000 | PA      | $4479080.39   | 0.11%             | 2035-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    550000 | PA      | $553940.73    | 0.01%             | 2031-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    912000 | PA      | $904224.08    | 0.02%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383T2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2434792 | PA      | $49432.62     | 0.00%             | 2052-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTL FIN LTD Common Equity               | DIGICEL INTL FIN LTD Common Equity                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    184508 | NS      | $1291556.00   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2020-4 LLC                                                                  | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524605 | PA      | $524269.33    | 0.01%             | 2025-10-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                           | Digicel Group Holdings Ltd                                                       | CUSIP: 25381HAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     14944 | PA      | $1.49         | 0.00%             | 2030-12-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1475042.88   | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    962027 | PA      | $807842.68    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                               | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330000 | PA      | $1450280.94   | 0.04%             | 2038-12-05      | Variable      | 8.73%                 | Yes           |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680CG6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    750000 | PA      | $696158.53    | 0.02%             | 2064-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -485000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | BRL CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -276000 | NC      | $-3958.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $56118.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                            | Level 3 Financing Inc                                                            | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    320000 | PA      | $325584.03    | 0.01%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                               | Conagra Brands Inc                                                               | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1039913.87   | 0.03%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5073431 | PA      | $4132581.03   | 0.10%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    735000 | PA      | $753520.75    | 0.02%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                              | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    213000 | PA      | $190639.55    | 0.00%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3892159 | PA      | $3892890.67   | 0.10%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                               | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   1060000 | PA      | $1242774.06   | 0.03%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17618 | PA      | $17672.74     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    394000 | PA      | $452801.88    | 0.01%             | 2028-02-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                     | CD 2017-CD3 Mortgage Trust                                                       | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $567874.82    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3512995.20   | 0.09%             | 2054-07-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                               | UBS AG/Stamford CT                                                               | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |   1090000 | PA      | $1174788.38   | 0.03%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                            | DuPont de Nemours Inc                                                            | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    705000 | PA      | $729780.94    | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030470<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $429037.31    | 0.01%             | 2040-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                   | Ameriquest Mortgage Securities Inc Asset Back Ser 2004-R1                        | CUSIP: 03072SNR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25902 | PA      | $25595.69     | 0.00%             | 2034-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69834 | PA      | $65621.35     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                   | Structured Asset Investment Loan Trust 2004-BNC1                                 | CUSIP: 86358EKX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221593 | PA      | $230749.52    | 0.01%             | 2034-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                              | Dominion Energy Inc                                                              | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1236098.34   | 0.03%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FK6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117140 | PA      | $110905.38    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | Tenet Healthcare Corp                                                            | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197406.56    | 0.00%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS CLP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -555000 | NC      | $-1811.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176H5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28339 | PA      | $26417.13     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   3050000 | PA      | $2614429.50   | 0.06%             | 2032-03-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                              | Cardinal Health Inc                                                              | CUSIP: 14149YBR8<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1575172.31   | 0.04%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    485000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05583JAE2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    495000 | PA      | $495187.36    | 0.01%             | 2028-09-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                         | Macquarie Airfinance Holdings Ltd                                                | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2998767.60   | 0.07%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | INR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    874000 | NC      | $115.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1814000 | PA      | $1306039.50   | 0.03%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                   | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3455697 | PA      | $3311734.09   | 0.08%             | 2026-12-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503004 | PA      | $423397.27    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    214000 | PA      | $177271.70    | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455142 | PA      | $431665.81    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140AEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002255 | PA      | $1006906.64   | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60995 | PA      | $59827.89     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                               | Credit Agricole SA                                                               | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    944000 | PA      | $964240.68    | 0.02%             | 2030-01-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312927YV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $509.43       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ICG Euro CLO                                     | ICG Euro CLO 2023-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400IDZDV7D9IJ8J46 | Long             | ABS-CBDO         | CORP              | IE        |   5000000 | PA      | $5886985.35   | 0.15%             | 2038-10-19      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1273378 | PA      | $1023458.96   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    380000 | PA      | $356540.88    | 0.01%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2021-1                                     | CUSIP: 682687AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    765000 | PA      | $752101.79    | 0.02%             | 2028-07-14      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2023-B39 Mortgage Trust                                                | CUSIP: 081925AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19895434 | PA      | $736019.65    | 0.02%             | 2056-07-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                           | Cadence Design Systems Inc                                                       | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1284022.78   | 0.03%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4425000 | PA      | $4583228.71   | 0.11%             | 2041-11-13      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    625000 | PA      | $545840.83    | 0.01%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    980000 | PA      | $951664.77    | 0.02%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                      | State of Illinois                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |   1077598 | PA      | $1080087.65   | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                            | Time Warner Cable LLC                                                            | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1201000 | PA      | $1308901.40   | 0.03%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2517634 | PA      | $1996040.93   | 0.05%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1502632.39   | 0.04%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383TYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1894203 | PA      | $46876.03     | 0.00%             | 2052-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140B5NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711245 | PA      | $711378.99    | 0.02%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XTHG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104454 | PA      | $101748.10    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    207000 | PA      | $149819.24    | 0.00%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677178 | PA      | $606734.86    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $735775.58    | 0.02%             | 2050-06-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Funding Trust 2024-3                                                     | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1948000 | PA      | $1950117.48   | 0.05%             | 2029-08-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                   | Microsoft Corp                                                                   | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    140000 | PA      | $92878.78     | 0.00%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                         | Devon Energy Corp                                                                | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    311000 | PA      | $260315.05    | 0.01%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    576930 | PA      | $526266.81    | 0.01%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31293FJ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       281 | PA      | $286.19       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     79000 | PA      | $65904.69     | 0.00%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 111450000 | PA      | $113246890.52 | 2.80%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                            | Time Warner Cable LLC                                                            | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    714000 | PA      | $740421.14    | 0.02%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    607000 | PA      | $603581.74    | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ICITII 6.0 31JAN33 144A                          | ICITII 6.0 31JAN33 144A                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18531 | PA      | $14831.82     | 0.00%             | 2033-01-31      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KAYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657313 | PA      | $605044.33    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414082 | PA      | $388629.92    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                | ONEOK Partners LP                                                                | CUSIP: 68268NAD5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    708000 | PA      | $773096.74    | 0.02%             | 2037-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94647 | PA      | $90548.11     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                            | Georgetown University/The                                                        | CUSIP: 37310PAB7<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |    715000 | PA      | $629502.06    | 0.02%             | 2118-10-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1496000 | PA      | $1205500.52   | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2432000 | PA      | $2315438.57   | 0.06%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140L22Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2425941 | PA      | $1926880.58   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | Southern California Gas Co                                                       | CUSIP: 842434DD1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1437108.08   | 0.04%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-                   | AutoNation Finance Trust 2025-1                                                  | CUSIP: 05330QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $912818.97    | 0.02%             | 2030-12-10      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2019-4                                                 | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3631000 | PA      | $2806194.02   | 0.07%             | 2059-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M1BV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304775 | PA      | $255771.48    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1803000 | PA      | $1797794.29   | 0.04%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    545000 | PA      | $558069.40    | 0.01%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34685000 | PA      | $19304370.31  | 0.48%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5MH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       616 | PA      | $644.57       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                               | Realty Income Corp                                                               | CUSIP: 756109BT0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996758.73    | 0.02%             | 2033-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                        | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1386000 | PA      | $1375605.00   | 0.03%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                | Battalion Clo 17 Ltd                                                             | CUSIP: 07133PAL3<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |   8250000 | PA      | $8261574.75   | 0.20%             | 2034-03-09      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339676 | PA      | $339739.73    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                      | SWOP CDS CDX.NA.HY.44.V1                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -1590000 | OU      | $-580.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-69420.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7190000 | PA      | $7092935.00   | 0.18%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                           | CenterPoint Energy Inc                                                           | CUSIP: 15189TBG1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1433043.54   | 0.04%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255854 | PA      | $1292040.28   | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2024-4                                         | CUSIP: 36270YAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $3073804.75   | 0.08%             | 2030-07-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Venator Finance Sarl                             | VNTR PIK-TERM B 1L USD                                                           | CUSIP: 000000000<br>LEI: 2221000BJZTBBAJL7429 | Long             | LON              | CORP              | LU        |    161224 | PA      | $159611.71    | 0.00%             | 2026-07-16      | Floating      | 12.30%                | No            |                  3 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    520000 | PA      | $525672.70    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                | Southern Power Co                                                                | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $3383891.21   | 0.08%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | KRW CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   1571000 | NC      | $23549.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-956108.98   | -0.02%            | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                            | Pinnacle West Capital Corp                                                       | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    532000 | PA      | $539199.50    | 0.01%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22145414 | PA      | $1176537.12   | 0.03%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1907624 | PA      | $1770495.61   | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10875.89     | 0.00%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                            | Brooklyn Union Gas Co/The                                                        | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3179525.03   | 0.08%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29161000 | PA      | $23077653.80  | 0.57%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | EUR CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    482000 | NC      | $48.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                         | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     50000 | PA      | $56379.59     | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3435000 | PA      | $3246619.79   | 0.08%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                      | Cencora Inc                                                                      | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1467100.66   | 0.04%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3412 | PA      | $3315.83      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140BX7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    176000 | PA      | $99837.32     | 0.00%             | 2061-08-12      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25707000 | PA      | $19103514.38  | 0.47%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                         | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $597530.28    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2758437 | PA      | $2662591.09   | 0.07%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2948074 | PA      | $2594889.17   | 0.06%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248831 | PA      | $217469.40    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                              | United Airlines Inc                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    495000 | PA      | $491481.20    | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $350187.88    | 0.01%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                    | Goldentree Loan Management US Clo 15 Ltd                                         | CUSIP: 38139BAS8<br>LEI: 549300JGUKVX0EDNOJ93 | Long             | ABS-CBDO         | CORP              | JE        |   4570000 | PA      | $4600067.40   | 0.11%             | 2036-10-20      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| B&G FOODS INC                                    | B&G Foods Inc                                                                    | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |    535000 | PA      | $515762.99    | 0.01%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573756 | PA      | $486962.29    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2573826 | PA      | $2597385.72   | 0.06%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                               | Trane Technologies Financing Ltd                                                 | CUSIP: 456873AD0<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    285000 | PA      | $279959.32    | 0.01%             | 2029-03-21      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383F2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1332402 | PA      | $1232588.08   | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                         | Rain City Mortgage Trust 2024-RTL1                                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1197000 | PA      | $1205952.60   | 0.03%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                   | Bombardier Inc                                                                   | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $803216.00    | 0.02%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    486000 | NC      | $323.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28111 | PA      | $27670.76     | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237590 | PA      | $223724.37    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    135000 | PA      | $133983.03    | 0.00%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                              | Dominion Energy Inc                                                              | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1229697.62   | 0.03%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203838 | PA      | $193042.93    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31419HYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3631 | PA      | $3590.89      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    650000 | PA      | $651540.66    | 0.02%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CC3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27221 | PA      | $26057.46     | 0.00%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1250000 | PA      | $1279331.25   | 0.03%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                   | Home Depot Inc/The                                                               | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    623000 | PA      | $436999.77    | 0.01%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411F4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149 | PA      | $152.33       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                              | Silver Rock CLO I Ltd                                                            | CUSIP: 82811RBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | PA      | $9014962.50   | 0.22%             | 2037-10-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                       | Intuit Inc                                                                       | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $517487.55    | 0.01%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                      | Tenneco Inc                                                                      | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3114806.86   | 0.08%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    270000 | PA      | $274885.66    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -2010000 | OU      | $-6320.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                              | Otis Worldwide Corp                                                              | CUSIP: 68902VAR8<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    440000 | PA      | $453115.24    | 0.01%             | 2031-11-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur                   | Bridgecrest Lending Auto Securitization Trust 2025-1                             | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3798806.63   | 0.09%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                   | CSAIL 2016-C6 Commercial Mortgage Trust                                          | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   1029431 | PA      | $4864.57      | 0.00%             | 2049-01-15      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193212 | PA      | $191712.24    | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234578 | PA      | $225858.08    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | USD CALL VERSUS CNH PUT                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | DE        |  -6703000 | NC      | $-15433.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                    | Corevest American Finance 2019-3 Trust                                           | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118503 | PA      | $117729.39    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1320000 | PA      | $1322151.60   | 0.03%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16221 | PA      | $16261.23     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383R2L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36215009 | PA      | $1536501.45   | 0.04%             | 2052-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $199337.91    | 0.00%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806471 | PA      | $680926.90    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-LC23 Mortgage Trust                                                    | CUSIP: 12636FBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1433448 | PA      | $1429950.25   | 0.04%             | 2048-10-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM10 Trust                                                             | CUSIP: 67121LAA4<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |    894753 | PA      | $898704.49    | 0.02%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202F3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16020 | PA      | $14612.91     | 0.00%             | 2042-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    660000 | PA      | $644140.25    | 0.02%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                 | Alabama Power Co                                                                 | CUSIP: 010392FF0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160579.63    | 0.00%             | 2041-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                         | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     75000 | PA      | $77826.00     | 0.00%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                   | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12489WJQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2304 | PA      | $2228.32      | 0.00%             | 2035-05-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1854816 | PA      | $1405819.81   | 0.03%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2041000 | PA      | $1936376.92   | 0.05%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $631268.40    | 0.02%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                   | HERTZ CORP/THE                                                                   | CUSIP: 428ESCAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    379000 | PA      | $85275.00     | 0.00%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                             | Westpac Banking Corp                                                             | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1895000 | PA      | $1954707.47   | 0.05%             | 2027-11-18      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    340000 | PA      | $326269.80    | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2709719 | PA      | $2559450.97   | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LVC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11122 | PA      | $10977.46     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                          | John Deere Capital Corp                                                          | CUSIP: 24422EXT1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1772691.02   | 0.04%             | 2029-06-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $141914.85    | 0.00%             | 2030-12-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                         | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    212000 | PA      | $212000.01    | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383ABJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266975 | PA      | $121.47       | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421256 | PA      | $335180.24    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $966931.94    | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    485000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    555000 | NC      | $1.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2022-A                                             | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539063 | PA      | $538618.52    | 0.01%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176H6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26743 | PA      | $24929.09     | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2664573.83   | 0.07%             | 2035-01-23      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647443 | PA      | $577250.43    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    104000 | PA      | $99928.40     | 0.00%             | 2028-02-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    282000 | PA      | $277641.94    | 0.01%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                            | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1520599.52   | 0.04%             | 2029-10-08      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2023-RPL1                                        | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2617138 | PA      | $2591104.36   | 0.06%             | 2063-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| RFR Trust                                        | RFR Trust 2025-SGRM                                                              | CUSIP: 74984NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2299936 | PA      | $2343612.93   | 0.06%             | 2041-03-11      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15650000 | PA      | $8248039.06   | 0.20%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2266215 | PA      | $2188138.98   | 0.05%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         8 | NC      | $3400.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EASTERN GAS TRAN                                 | Eastern Gas Transmission & Storage Inc                                           | CUSIP: 276480AD2<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     48000 | PA      | $40584.79     | 0.00%             | 2044-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501920 | PA      | $437203.18    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                               | Ohio Power Co                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    328000 | PA      | $248143.46    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36212PBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12427 | PA      | $11603.83     | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2017-C4                                      | CUSIP: 17326FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2541686 | PA      | $2482663.25   | 0.06%             | 2050-10-12      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923669 | PA      | $2635259.37   | 0.07%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62222 | PA      | $60498.62     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                | CDS REPUBLIC OF ITALY                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-34009.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2472426 | PA      | $2325920.57   | 0.06%             | 2052-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141912.89    | 0.00%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25598.83     | 0.00%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99389 | PA      | $97442.96     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                       | Pfizer Inc                                                                       | CUSIP: 717081EU3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    445000 | PA      | $388069.94    | 0.01%             | 2039-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                                | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $827322.93    | 0.02%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3620A2T55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56944 | PA      | $57445.50     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519392 | PA      | $458511.31    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50975.84     | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176552.31    | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4739000 | PA      | $4294214.99   | 0.11%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    923000 | PA      | $885812.79    | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                         | Public Service Enterprise Group Inc                                              | CUSIP: 744573AX4<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    730000 | PA      | $777012.61    | 0.02%             | 2033-10-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    288000 | PA      | $133947.93    | 0.00%             | 2030-12-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4918650 | PA      | $4919573.29   | 0.12%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859BE1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    176000 | PA      | $152034.63    | 0.00%             | 2044-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                              | Bank of New Zealand                                                              | CUSIP: 06407EAE5<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   2085000 | PA      | $2025327.93   | 0.05%             | 2027-01-27      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31409GNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       541 | PA      | $564.82       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                   | Merrill Lynch Mortgage Investors Trust Series 2004-WMC3                          | CUSIP: 59020UCP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61067 | PA      | $59536.28     | 0.00%             | 2035-01-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-O            | CORP              | US        |   1547798 | PA      | $1550220.11   | 0.04%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                | L3Harris Technologies Inc                                                        | CUSIP: 502431AV1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    466000 | PA      | $451793.69    | 0.01%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-NQM1                                                                   | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1394273 | PA      | $1264935.24   | 0.03%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     22672 | NS      | $1286636.00   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2025-1 LLC                                                                   | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2315965 | PA      | $2333700.35   | 0.06%             | 2042-09-22      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314507 | PA      | $288723.18    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PFC1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1443499.16   | 0.04%             | 2054-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4148266 | PA      | $4085043.68   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAL TopCo LLC Equity Units                       | SAL TopCo LLC Equity Units                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   2403091 | NS      | $240.31       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MARKEL GROUP INC                                 | Markel Group Inc                                                                 | CUSIP: 570535AP9<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    154000 | PA      | $137619.29    | 0.00%             | 2043-03-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1320000 | PA      | $1323557.81   | 0.03%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                             | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2954779.40   | 0.07%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KU4Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13279 | PA      | $13937.71     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3115000 | PA      | $3167870.28   | 0.08%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                             | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1977875.77   | 0.05%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                             | COPT Defense Properties LP                                                       | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    955000 | PA      | $788146.84    | 0.02%             | 2033-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2855000 | PA      | $2815867.87   | 0.07%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2023-HQA3                                          | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |    471528 | PA      | $477129.76    | 0.01%             | 2043-11-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1381952 | PA      | $1391181.42   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535001 | PA      | $450263.41    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2019-GC43                                    | CUSIP: 17328HBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3229578 | PA      | $2972477.07   | 0.07%             | 2052-11-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    948000 | PA      | $933198.83    | 0.02%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735817 | PA      | $750146.26    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQJD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903730 | PA      | $891568.99    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                         | Element Fleet Management Corp                                                    | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    425000 | PA      | $428290.78    | 0.01%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1029427.35   | 0.03%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                          | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $175067.98    | 0.00%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALTA MESA HLDGS/FINANC S                         | Alta Mesa Holdings LP / Alta Mesa Finance Services Corp                          | CUSIP: 021ESCAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5175000 | PA      | $6468.75      | 0.00%             | 2024-12-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2016-2                                                 | CUSIP: 89172PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1034605.33   | 0.03%             | 2055-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1317000 | PA      | $1159272.76   | 0.03%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2023-3                                    | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1117438.19   | 0.03%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       716 | NC      | $2580514.21   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| PROGRESS ENERGY INC                              | Progress Energy Inc                                                              | CUSIP: 743263AE5<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |   2302000 | PA      | $2649027.09   | 0.07%             | 2031-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1690000 | PA      | $1748160.84   | 0.04%             | 2031-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16995 | PA      | $16528.23     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS                   | Stream Innovations 2024-2 Issuer Trust                                           | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2368899 | PA      | $2395173.45   | 0.06%             | 2045-02-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455000 | PA      | $1477088.06   | 0.04%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179V7G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1259957 | PA      | $1148935.82   | 0.03%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -241000 | NC      | $-10.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 121806000 | PA      | $122957447.34 | 3.04%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    865000 | PA      | $867578.04    | 0.02%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    692000 | PA      | $484158.85    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    510000 | PA      | $520176.62    | 0.01%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1055000 | PA      | $1065695.59   | 0.03%             | 2029-05-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14334 | PA      | $13507.22     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2019-1                                                 | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3141350 | PA      | $3055968.28   | 0.08%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    795000 | PA      | $792849.47    | 0.02%             | 2028-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL                         | Sammons Financial Group Global Funding                                           | CUSIP: 79587J2C6<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    870000 | PA      | $879560.22    | 0.02%             | 2030-06-12      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                      | Ovintiv Inc                                                                      | CUSIP: 012873AK1<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    150000 | PA      | $163913.07    | 0.00%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31400V3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7475 | PA      | $7641.34      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                         | International Business Machines Corp                                             | CUSIP: 459200KM2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2026902.29   | 0.05%             | 2027-02-09      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BB6V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1964133 | PA      | $345931.64    | 0.01%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M53F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       522 | PA      | $537.62       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK22                                                                  | CUSIP: 06540XBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3536536.12   | 0.09%             | 2062-11-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                   | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    480000 | PA      | $441516.52    | 0.01%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KJZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210795 | PA      | $220575.27    | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599718 | PA      | $573485.96    | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M4AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7598 | PA      | $7851.07      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $347882.25    | 0.01%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45337 | PA      | $42558.81     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                            | Truist Financial Corp                                                            | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3695000 | PA      | $3693335.87   | 0.09%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8391 | PA      | $8190.82      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $927865.46    | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                          | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $26178.52     | 0.00%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2021-NQM1 Trust                                                              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4625402 | PA      | $3972691.93   | 0.10%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                      | NVIDIA Corp                                                                      | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1107413.75   | 0.03%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31407H7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275 | PA      | $287.19       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178629 | PA      | $172023.88    | 0.00%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| SUBURBAN PROPANE PARTNRS                         | Suburban Propane Partners LP/Suburban Energy Finance Corp                        | CUSIP: 864486AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | PA      | $875156.79    | 0.02%             | 2027-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1672917 | PA      | $1334829.05   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQ6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953540 | PA      | $972504.99    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    695000 | PA      | $759727.49    | 0.02%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $15725.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A3C4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1760000 | PA      | $1777199.95   | 0.04%             | 2029-12-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FGI OPERATING CO LLC                             | FGI Operating Co LLC                                                             | CUSIP: 30252KAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     17008 | PA      | $170.08       | 0.00%             | 2022-05-15      | Floating      | 12.00%                | No            |                  3 | On Loan: No      |
| HUNTINGTON BANCSHARES                            | Huntington Bancshares Inc/OH                                                     | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3358544.35   | 0.08%             | 2028-08-04      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                            | Sixth Street CLO XIX Ltd                                                         | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7018519.20   | 0.17%             | 2034-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                            | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2688559.66   | 0.07%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                           | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    200000 | PA      | $187750.00    | 0.00%             | 2026-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685473 | PA      | $642612.71    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BGCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5967956 | PA      | $5563691.80   | 0.14%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | PEN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21547.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FPU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223297 | PA      | $218609.91    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                    | Carnival Corp                                                                    | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $292484.97    | 0.01%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                         | Penske Truck Leasing Co Lp / PTL Finance Corp                                    | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $573238.42    | 0.01%             | 2028-08-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                   | Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5                      | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93382 | PA      | $97102.33     | 0.00%             | 2033-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                                | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     28000 | PA      | $26464.30     | 0.00%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                               | Coterra Energy Inc                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1973000 | PA      | $1952907.80   | 0.05%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417VQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1431 | PA      | $1448.48      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $829717.40    | 0.02%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-160479.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20986 | PA      | $20084.78     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MHUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018114 | PA      | $890899.04    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1327744.65   | 0.03%             | 2053-09-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2363 | PA      | $2392.82      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                             | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    835000 | PA      | $895066.48    | 0.02%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/SGD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17135.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORAN FOODS                                      | MORAN FOODS                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     18526 | PA      | $18525.64     | 0.00%             | 2026-06-30      | Floating      | 16.91%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125644 | PA      | $129063.17    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                  | Bermuda Government International Bond                                            | CUSIP: 000000000<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |   3520000 | PA      | $3118500.00   | 0.08%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XVD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77626 | PA      | $74970.45     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535821 | PA      | $523888.41    | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1645000 | PA      | $1693276.64   | 0.04%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                        | Kroger Co/The                                                                    | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    900000 | PA      | $853579.60    | 0.02%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                               | Boston Gas Co                                                                    | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    680000 | PA      | $627060.00    | 0.02%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2554381 | PA      | $2597192.97   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21146000 | PA      | $20638826.41  | 0.51%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62859 | PA      | $63624.80     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $100431.62    | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                            | Reynolds American Inc                                                            | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1370027.36   | 0.03%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    335000 | PA      | $334962.93    | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNE                   | PRET 2025-NPL6 LLC                                                               | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3335000 | PA      | $3335227.11   | 0.08%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6319 | PA      | $6340.03      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |    551000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                             | Enel Finance International NV                                                    | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   4210000 | PA      | $4092160.00   | 0.10%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2017-GS5                                            | CUSIP: 36252HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4478933 | PA      | $4407077.55   | 0.11%             | 2050-03-10      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412LBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3727 | PA      | $3895.41      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495700 | PA      | $507898.97    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107889 | PA      | $100152.65    | 0.00%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133B3WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842662 | PA      | $737791.17    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    410000 | PA      | $406461.14    | 0.01%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $199906.00    | 0.00%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14225198 | PA      | $11957407.15  | 0.30%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSO                   | New York State Dormitory Authority                                               | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    100000 | PA      | $99077.01     | 0.00%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                      | Cargill Inc                                                                      | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $911693.52    | 0.02%             | 2031-11-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4257 | PA      | $3961.53      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                              | CUSIP: 375558CB7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1051547.13   | 0.03%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36272 | PA      | $34563.39     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841253 | PA      | $770380.12    | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RGJ7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $805916.64    | 0.02%             | 2027-10-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/MXN FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3624.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                               | Smith & Nephew PLC                                                               | CUSIP: 83192PAA6<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    745000 | PA      | $651358.57    | 0.02%             | 2030-10-14      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP                                       | Hertz Corp/The                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $57375.00     | 0.00%             | 2026-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1281884 | PA      | $1150630.47   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-163161.09   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128941.16    | 0.00%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1756000 | PA      | $1754964.31   | 0.04%             | 2036-06-16      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2024-C9 Mortgage Trust                                                       | CUSIP: 05593MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11066101 | PA      | $718976.77    | 0.02%             | 2057-07-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506856 | PA      | $473953.99    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6695324 | PA      | $5935891.61   | 0.15%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2023-1 LLC                                            | CUSIP: 29375CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1670682.92   | 0.04%             | 2029-10-22      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                         | Penske Truck Leasing Co Lp / PTL Finance Corp                                    | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1694017.64   | 0.04%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1865281 | PA      | $1850335.69   | 0.05%             | 2052-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur                   | Bridgecrest Lending Auto Securitization Trust 2025-2                             | CUSIP: 10807HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3710000 | PA      | $3723918.81   | 0.09%             | 2029-08-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Funding Trust 2024-3                                                     | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1207000 | PA      | $1212782.13   | 0.03%             | 2029-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                              | Bank of Nova Scotia/The                                                          | CUSIP: 06418BAE8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1355000 | PA      | $1327400.14   | 0.03%             | 2027-03-11      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    495000 | PA      | $455152.50    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                        | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1654000 | PA      | $1615515.68   | 0.04%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63573 | PA      | $59126.06     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -117 | NC      | $-144868.78   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244109 | PA      | $226936.56    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    665000 | PA      | $680992.70    | 0.02%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31374CSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2960086 | PA      | $2680647.75   | 0.07%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622AC4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408810 | PA      | $424952.07    | 0.01%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $406887.50    | 0.01%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                  | Tyson Foods Inc                                                                  | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155203.60    | 0.00%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243104 | PA      | $1135786.88   | 0.03%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11397 | PA      | $10511.63     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1952829 | PA      | $1714098.87   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                           | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    153819 | PA      | $159221.27    | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30346 | PA      | $28624.10     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58448 | PA      | $57066.25     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $289321.29    | 0.01%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                         | Public Service Enterprise Group Inc                                              | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1113838.37   | 0.03%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2690175 | PA      | $2363249.37   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -108 | NC      | $-146127.24   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7380000 | PA      | $7315425.00   | 0.18%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3001855 | PA      | $3002421.30   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313783 | PA      | $288479.00    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                         | Florida Power & Light Co                                                         | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2449543.46   | 0.06%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233539 | PA      | $228298.44    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                | Imperial Fund Mortgage Trust 2022-NQM2                                           | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3960539 | PA      | $3787447.64   | 0.09%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    194000 | PA      | $186431.50    | 0.00%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34200 | PA      | $33031.61     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                     | CUSIP: 11135FCE9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1765294.12   | 0.04%             | 2028-04-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31402CVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6640 | PA      | $6796.28      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417AYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4384 | PA      | $4438.30      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       260 | NC      | $1011617.99   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3474813.60   | 0.09%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    335000 | PA      | $335692.03    | 0.01%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AMPP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69207 | PA      | $52054.43     | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                  | McDonald's Corp                                                                  | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    619000 | PA      | $491933.23    | 0.01%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $907146.00    | 0.02%             | 2035-11-19      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                            | MidAmerican Energy Co                                                            | CUSIP: 595620AL9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1007791.89   | 0.02%             | 2043-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                | NSTAR Electric Co                                                                | CUSIP: 67021CAV9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    425000 | PA      | $435942.79    | 0.01%             | 2034-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1144710.74   | 0.03%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                       | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    590000 | PA      | $605478.30    | 0.01%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972480 | PA      | $810751.04    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5567740 | PA      | $4674944.40   | 0.12%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AGGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1469 | PA      | $1477.63      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229551 | PA      | $211370.97    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS COP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -551000 | NC      | $-273.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260150 | PA      | $1010515.63   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XSJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47995 | PA      | $46775.71     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252000 | PA      | $245621.60    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                                              | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    210000 | PA      | $171804.98    | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE                   | City of San Antonio TX Electric & Gas Systems Revenue                            | CUSIP: 796253Z21<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |    265000 | PA      | $249417.30    | 0.01%             | 2042-02-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                     | QUALCOMM Inc                                                                     | CUSIP: 747525AK9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    340000 | PA      | $309779.75    | 0.01%             | 2045-05-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FX2A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5101731 | PA      | $4898870.22   | 0.12%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3579000 | PA      | $3272810.74   | 0.08%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    610000 | PA      | $615060.96    | 0.02%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    270000 | PA      | $250451.32    | 0.01%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $775020.09    | 0.02%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3617XSQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679106 | PA      | $595867.57    | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    815000 | PA      | $793234.39    | 0.02%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | Meta Platforms Inc                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1316155.15   | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    665000 | PA      | $588761.80    | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                         | Saudi Government International Bond                                              | CUSIP: 80413TBH1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    350000 | PA      | $333252.50    | 0.01%             | 2054-01-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                  | Xcel Energy Inc                                                                  | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1356947.68   | 0.03%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                   | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19880.13     | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTQ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466581 | PA      | $478123.66    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                            | Republic Services Inc                                                            | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1468139.47   | 0.04%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    260000 | PA      | $272230.04    | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                | L3Harris Technologies Inc                                                        | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    106000 | PA      | $98916.54     | 0.00%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1549436.63   | 0.04%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    656000 | PA      | $609939.55    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | INR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   3177000 | NC      | $419.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MISTAK FRN 08JUL36                               | MISTAK FRN 08JUL36                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2585000.00   | 0.06%             | 2036-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    550000 | PA      | $272248.52    | 0.01%             | 2030-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142627 | PA      | $129815.65    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                   | Port Authority of New York & New Jersey                                          | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    515000 | PA      | $481942.55    | 0.01%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSWC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684744 | PA      | $702314.03    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                          | Mid-Atlantic Interstate Transmission LLC                                         | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    121000 | PA      | $120104.17    | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819167 | PA      | $750829.72    | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18375000 | PA      | $11653769.53  | 0.29%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1330993 | PA      | $1331243.20   | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    369000 | PA      | $333609.81    | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                          | CF Hippolyta Issuer LLC                                                          | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592141 | PA      | $593644.15    | 0.01%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                         | TotalEnergies Capital SA                                                         | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |   2025000 | PA      | $1961600.69   | 0.05%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    910000 | PA      | $895072.83    | 0.02%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61050 | PA      | $57557.50     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ACTU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177720 | PA      | $1211310.76   | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1257000 | PA      | $1174434.54   | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603479 | PA      | $609114.38    | 0.02%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                           | PG&E Wildfire Recovery Funding LLC                                               | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1661993.86   | 0.04%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55244 | PA      | $51411.44     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2025-2                                         | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3661223.04   | 0.09%             | 2031-01-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2019-HY3                                               | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91040 | PA      | $91710.38     | 0.00%             | 2059-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424983 | PA      | $403598.66    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                          | Columbia Pipelines Operating Co LLC                                              | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $155014.61    | 0.00%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    430000 | PA      | $316923.44    | 0.01%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                     | NiSource Inc                                                                     | CUSIP: 65473PAX3<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    630000 | PA      | $635091.08    | 0.02%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    565000 | PA      | $550144.63    | 0.01%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146778 | PA      | $143332.24    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    582000 | PA      | $577926.00    | 0.01%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    845000 | PA      | $661047.91    | 0.02%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQ3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4178410 | PA      | $4197253.45   | 0.10%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                          | CUSIP: 35564KL49<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | CORP              | US        |   1855000 | PA      | $2005143.70   | 0.05%             | 2052-03-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS                   | Stream Innovations 2024-2 Issuer Trust                                           | CUSIP: 86324EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2230000 | PA      | $2266242.18   | 0.06%             | 2045-02-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                   | ONNI Commerical Mortgage Trust 2024-APT                                          | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1246832.44   | 0.03%             | 2039-07-15      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-BOBL                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -45 | NC      | $17393.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | EUR CALL VERSUS PLN PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    484000 | NC      | $1.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294893 | PA      | $284587.66    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/KRW FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4581.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347210 | PA      | $316179.50    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H7H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34542 | PA      | $32701.23     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                        | Kroger Co/The                                                                    | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    330000 | PA      | $328178.89    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-7255.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J6A80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554745 | PA      | $525364.79    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Freddie Mac Coupon Strips                                                        | CUSIP: 3134A4NV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    180000 | PA      | $131191.92    | 0.00%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                      | Island Finance Trust 2025-1                                                      | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1019838.40   | 0.03%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749175 | PA      | $654438.49    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                           | Mexico City Airport Trust                                                        | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    545000 | PA      | $528377.50    | 0.01%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NP4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355231 | PA      | $340066.72    | 0.01%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RIO TINTO ALCAN INC                              | Rio Tinto Alcan Inc                                                              | CUSIP: 013716AU9<br>LEI: 2138007ZSQ7B17SKOX77 | Long             | DBT              | CORP              | CA        |    670000 | PA      | $725857.77    | 0.02%             | 2033-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8461000 | PA      | $8153797.83   | 0.20%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                     | Tapestry Inc                                                                     | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    920000 | PA      | $923434.71    | 0.02%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQ4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600574 | PA      | $612083.77    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1860990 | PA      | $1761373.06   | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                         | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    366000 | PA      | $356399.82    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105159 | PA      | $93062.74     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2022-SFR3 Trust                                             | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1057970 | PA      | $1032314.94   | 0.03%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                               | Eastern Energy Gas Holdings LLC                                                  | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    405000 | PA      | $419249.79    | 0.01%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    250000 | PA      | $230851.46    | 0.01%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H6UD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200951 | PA      | $195510.97    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3620A9V32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84692 | PA      | $85777.90     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                   | CWABS Asset-Backed Certificates Trust 2004-BC4                                   | CUSIP: 126673KY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1575 | PA      | $1851.00      | 0.00%             | 2034-11-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                        | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2911109 | PA      | $456960.29    | 0.01%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690738 | PA      | $665614.92    | 0.02%             | 2062-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1275000 | PA      | $1265463.64   | 0.03%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AB5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       845 | PA      | $819.32       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                         | Olympus Water US Holding Corp                                                    | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    825000 | PA      | $868681.94    | 0.02%             | 2028-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8048.24      | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | EUR CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -486000 | NC      | $-5613.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    415000 | PA      | $395346.65    | 0.01%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40796 | PA      | $36654.69     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    305000 | PA      | $301609.30    | 0.01%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-BIO2                                           | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $466444.07    | 0.01%             | 2041-08-13      | Variable      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63501 | PA      | $63273.42     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52327 | PA      | $48589.23     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096349 | PA      | $1102738.27   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                            | ARI Fleet Lease Trust 2024-A                                                     | CUSIP: 00218KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661688 | PA      | $664638.25    | 0.02%             | 2032-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                         | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $34189.39     | 0.00%             | 2027-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607211 | PA      | $537911.13    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                    | Citigroup Mortgage Loan Trust 2011-12                                            | CUSIP: 17318WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117056 | PA      | $108492.17    | 0.00%             | 2047-09-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QHD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96792 | PA      | $81377.23     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2022-2                                          | CUSIP: 68268VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964525 | PA      | $964257.33    | 0.02%             | 2034-10-14      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                   | Eli Lilly & Co                                                                   | CUSIP: 532457CY2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    575000 | PA      | $579555.10    | 0.01%             | 2055-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9018 | PA      | $9463.65      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    320000 | PA      | $253440.00    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2077000 | PA      | $2079509.69   | 0.05%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company              | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-429192.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                     | Anchorage Capital Europe CLO 2021-4 DAC                                          | CUSIP: 000000000<br>LEI: 635400DODOOELVF8BK72 | Long             | ABS-CBDO         | CORP              | IE        |   1722000 | PA      | $2029131.74   | 0.05%             | 2034-04-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602522 | PA      | $611409.47    | 0.02%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS CLP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -551000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1090377 | PA      | $969343.71    | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                           | Roper Technologies Inc                                                           | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375738.22    | 0.01%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2063189 | PA      | $1810747.15   | 0.04%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    573941 | PA      | $502222.52    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75736 | PA      | $73599.29     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                   | AutoNation Inc                                                                   | CUSIP: 05329WAT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1784366.88   | 0.04%             | 2035-03-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1399559.75   | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                         | Bellis Acquisition Co PLC                                                        | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $386572.56    | 0.01%             | 2030-05-14      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS TWD PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   1123000 | NC      | $23.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    989000 | PA      | $877451.78    | 0.02%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2021-230P                                         | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3660000 | PA      | $3516484.08   | 0.09%             | 2038-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                   | Solventum Corp                                                                   | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    540000 | PA      | $539879.12    | 0.01%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9HE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56649 | PA      | $53232.00     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3645748 | PA      | $3535027.84   | 0.09%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319349 | PA      | $1107347.08   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                            | Toorak Mortgage Trust 2025-RRTL1                                                 | CUSIP: 89053JAB3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2700318.87   | 0.07%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2025-RTL1                                                   | CUSIP: 50205UAA9<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2106393.24   | 0.05%             | 2040-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    875000 | PA      | $829551.54    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NXFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3190000 | PA      | $3216202.63   | 0.08%             | 2032-07-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                           | Fairfax Financial Holdings Ltd                                                   | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    830000 | PA      | $770107.95    | 0.02%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALABAMA ECON SETTLEMENT AUTH B                   | Alabama Economic Settlement Authority                                            | CUSIP: 01026CAD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    135000 | PA      | $133136.42    | 0.00%             | 2032-09-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97133.48     | 0.00%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189651 | PA      | $173848.21    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                       | Pfizer Inc                                                                       | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    597000 | PA      | $555499.19    | 0.01%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $2837314.62   | 0.07%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518048.57    | 0.01%             | 2030-02-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    545000 | PA      | $528851.65    | 0.01%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2042741 | PA      | $399042.03    | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    553000 | PA      | $467452.94    | 0.01%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31413FJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       674 | PA      | $689.31       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GSP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4052205 | PA      | $4121679.15   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2117546 | PA      | $1919174.99   | 0.05%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss                   | New Economy Assets - Phase 1 Sponsor LLC                                         | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1214519.39   | 0.03%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $192744.26    | 0.00%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                       | Zoetis Inc                                                                       | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $988219.84    | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EN2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2439728 | PA      | $2205585.43   | 0.05%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   4199000 | PA      | $3742178.78   | 0.09%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| METLIFE INC                                      | MetLife Inc                                                                      | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    459000 | PA      | $477121.02    | 0.01%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    648000 | NC      | $0.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610783 | PA      | $640978.30    | 0.02%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 31425W4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1315671 | PA      | $1318522.88   | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   2019000 | PA      | $2246732.38   | 0.06%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK20                                                                  | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2691000 | PA      | $2494774.43   | 0.06%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3954230 | PA      | $3416746.78   | 0.08%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177401 | PA      | $161988.32    | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2023-2 LLC                                            | CUSIP: 29375NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137317 | PA      | $1144126.78   | 0.03%             | 2030-04-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $827572.16    | 0.02%             | 2030-03-12      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1498000 | PA      | $1308816.30   | 0.03%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6233 | PA      | $6541.17      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859271 | PA      | $740556.67    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    423000 | PA      | $435950.89    | 0.01%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676193 | PA      | $625953.83    | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411ATZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1629 | PA      | $1702.86      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                              | Cardinal Health Inc                                                              | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411320.60    | 0.01%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685881 | PA      | $689401.27    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                  | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    850000 | PA      | $756364.35    | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    230000 | PA      | $224750.40    | 0.01%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan                   | Laurel Road Prime Student Loan Trust 2019-A                                      | CUSIP: 51889RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11264 | PA      | $11220.95     | 0.00%             | 2048-10-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3743885 | PA      | $2818424.07   | 0.07%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                          | Corebridge Global Funding                                                        | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    600000 | PA      | $614513.57    | 0.02%             | 2029-06-24      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705913 | PA      | $619395.30    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4868864 | PA      | $4185431.26   | 0.10%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1187555.39   | 0.03%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                          | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2311413.32   | 0.06%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                             | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |    135000 | PA      | $137701.22    | 0.00%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2017-TIME                                                                   | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $150718.72    | 0.00%             | 2039-11-13      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31288Q3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841533 | PA      | $798960.82    | 0.02%             | 2050-12-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                          | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1586606.57   | 0.04%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                               | AMN Healthcare Inc                                                               | CUSIP: 00175PAB9<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |    925000 | PA      | $902559.64    | 0.02%             | 2027-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    611000 | PA      | $644832.61    | 0.02%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                 | Altria Group Inc                                                                 | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    940000 | PA      | $1049956.22   | 0.03%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259737 | PA      | $244835.44    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689485 | PA      | $574342.08    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41198 | PA      | $36710.58     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $263250.00    | 0.01%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7259 | PA      | $7450.32      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                     | KBC Group NV                                                                     | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   1490000 | PA      | $1504668.31   | 0.04%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9646880 | PA      | $7857930.95   | 0.19%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust 2017-C5                                            | CUSIP: 90276TAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2687000 | PA      | $2612835.84   | 0.06%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    650000 | PA      | $675545.01    | 0.02%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1534080.34   | 0.04%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                           | Eskom Holdings SOC Ltd                                                           | CUSIP: 29646AAD8<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |    430000 | PA      | $450425.00    | 0.01%             | 2028-08-10      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    845000 | PA      | $843804.56    | 0.02%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78823 | PA      | $78098.90     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    635000 | PA      | $614447.75    | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10137994 | PA      | $376696.42    | 0.01%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    517000 | PA      | $555843.57    | 0.01%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3255739 | PA      | $3042105.12   | 0.08%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                    | Mastr Asset Backed Securities Trust 2004-WMC2                                    | CUSIP: 57643LDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143695 | PA      | $141899.20    | 0.00%             | 2034-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    460000 | PA      | $455465.23    | 0.01%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 00973RAM5<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    295000 | PA      | $303087.43    | 0.01%             | 2033-06-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                      | Citibank NA                                                                      | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1289136.26   | 0.03%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                     | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    940000 | PA      | $947902.30    | 0.02%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136AVW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2424172 | PA      | $2245522.33   | 0.06%             | 2047-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4468 | PA      | $4337.46      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144542 | PA      | $138458.27    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                 | Williams Cos Inc/The                                                             | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    643000 | PA      | $733393.55    | 0.02%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412GV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1017 | PA      | $1046.51      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9UB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2608789 | PA      | $1964081.81   | 0.05%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3000000 | PA      | $3084000.00   | 0.08%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2655000 | PA      | $2704937.90   | 0.07%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                              | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    850000 | PA      | $866299.93    | 0.02%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H7JU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31772 | PA      | $30887.09     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132Y4BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782776 | PA      | $763753.36    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                          | SCF Equipment Trust 2016-1 LLC                                                   | CUSIP: 78437DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1494058.69   | 0.04%             | 2035-11-20      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TPC Group Rights                                 | TPC Group Rights                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52737 | NS      | $1255799.81   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                       | MMAF Equipment Finance LLC 2019-B                                                | CUSIP: 55316EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440000 | PA      | $1417388.11   | 0.04%             | 2041-11-12      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| NGC Ltd                                          | NGC 2024-I Ltd                                                                   | CUSIP: 652927AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   8250000 | PA      | $8288265.98   | 0.20%             | 2037-07-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    735000 | PA      | $740315.74    | 0.02%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XW6K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60753 | PA      | $59378.58     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2018-BNK14                                                                  | CUSIP: 06035RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715000 | PA      | $1696257.97   | 0.04%             | 2060-09-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1660008.56   | 0.04%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    512000 | PA      | $359114.82    | 0.01%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1090000 | PA      | $1122758.10   | 0.03%             | 2035-01-19      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    585000 | PA      | $601556.50    | 0.01%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49320000 | PA      | $49200553.13  | 1.22%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1326003.76   | 0.03%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                         | MPH Acquisition Holdings LLC                                                     | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    197138 | PA      | $195017.60    | 0.00%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $746750.00    | 0.02%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418FF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24585425 | PA      | $24103483.23  | 0.60%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    962612 | PA      | $904951.25    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F                   | Ford Credit Auto Owner Trust 2021-REV1                                           | CUSIP: 345340AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398000 | PA      | $388497.59    | 0.01%             | 2033-10-17      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RPL2 LLC                                                               | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2831720 | PA      | $2735333.87   | 0.07%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                           | Digicel Group Holdings Ltd                                                       | CUSIP: 25381HAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     51149 | PA      | $0.05         | 0.00%             | 2030-12-31      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50636 | PA      | $48940.82     | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333156 | PA      | $305173.22    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                          | CUSIP: 44891ADC8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2950000 | PA      | $3004716.67   | 0.07%             | 2029-06-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitizat                   | Hyundai Auto Lease Securitization Trust 2024-A                                   | CUSIP: 448988AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485000 | PA      | $1494723.93   | 0.04%             | 2028-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                            | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    198000 | PA      | $199782.00    | 0.00%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2086721 | PA      | $1664354.38   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                             | Entergy Arkansas LLC                                                             | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1172868.77   | 0.03%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2021-2, Ltd.                             | TCW CLO 2021-2 Ltd                                                               | CUSIP: 87190MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2083000 | PA      | $2085495.64   | 0.05%             | 2034-07-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                      | CDS CDX.NA.HY.43.V1                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $7044.78      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Bank of America, National Association            | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9010.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    435000 | PA      | $453875.92    | 0.01%             | 2035-02-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2246724 | PA      | $1791272.20   | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F3MX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58409 | PA      | $51913.65     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENATOR FINANCE SARL                             | VENATOR FINANCE SARL                                                             | CUSIP: 000000000<br>LEI: 2221000BJZTBBAJL7429 | Long             | LON              | CORP              | LU        |    224071 | PA      | $184858.48    | 0.00%             | 2028-10-12      | Floating      | 12.24%                | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6550000 | PA      | $5429757.63   | 0.13%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-CCRE25 Mortgage Trust                                                  | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178784 | PA      | $2.97         | 0.00%             | 2048-08-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807026 | PA      | $647310.02    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11455000 | PA      | $11508695.31  | 0.28%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                     | QUALCOMM Inc                                                                     | CUSIP: 747525BV4<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1184539.37   | 0.03%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266145 | PA      | $229331.06    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                         | American Transmission Systems Inc                                                | CUSIP: 030288AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    482000 | PA      | $440190.03    | 0.01%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    850000 | PA      | $864838.47    | 0.02%             | 2027-09-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510822 | PA      | $407427.98    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12437000 | PA      | $9312203.75   | 0.23%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2155000 | PA      | $2224890.85   | 0.06%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4117977 | PA      | $4037251.40   | 0.10%             | 2056-07-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -14979000 | PA      | $-12958940.15 | -0.32%            | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                           | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10119446 | PA      | $10.12        | 0.00%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36294QLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1601 | PA      | $1494.72      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                   | AutoNation Inc                                                                   | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1391339.42   | 0.03%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                  | OHA Credit Funding 3 LTD                                                         | CUSIP: 67112RBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4511281.50   | 0.11%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2023-1                                    | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404202 | PA      | $404394.24    | 0.01%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS GBP                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $182547.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HDUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10048253 | PA      | $247164.93    | 0.01%             | 2034-05-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383PB42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539248 | PA      | $17508.31     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105709 | PA      | $100957.63    | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61768 | PA      | $60451.82     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                        | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-446099.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                 | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1031692.69   | 0.03%             | 2035-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                             | CUSIP: 78016EYV3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1395000 | PA      | $1349688.87   | 0.03%             | 2027-01-21      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36177T5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13073 | PA      | $12206.79     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3010878 | PA      | $2528188.10   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR4                                                                  | CUSIP: 06211FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3276788 | PA      | $95990.90     | 0.00%             | 2056-12-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1490000 | PA      | $1511813.00   | 0.04%             | 2029-01-13      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                       | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    497000 | PA      | $409520.66    | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                | Herc Holdings Inc                                                                | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    235000 | PA      | $246044.25    | 0.01%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145213 | PA      | $141803.93    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1319530 | PA      | $1230239.71   | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2020-1                                       | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479214 | PA      | $449196.41    | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                  | Bermuda Government International Bond                                            | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $177187.50    | 0.00%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                 | Ascension Health                                                                 | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    523000 | PA      | $408654.04    | 0.01%             | 2039-11-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X0AT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831125 | PA      | $780458.77    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676AE5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    505000 | PA      | $407688.28    | 0.01%             | 2044-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546416 | PA      | $525286.94    | 0.01%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                               | Smith & Nephew PLC                                                               | CUSIP: 83192PAD0<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |     80000 | PA      | $80929.60     | 0.00%             | 2034-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                     | Tapestry Inc                                                                     | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    520000 | PA      | $526808.52    | 0.01%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                              | CommonSpirit Health                                                              | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    214000 | PA      | $179609.65    | 0.00%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                            | Rio Tinto Finance USA PLC                                                        | CUSIP: 76720AAW6<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    870000 | PA      | $870250.91    | 0.02%             | 2065-03-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-277P Mortgage Trust                                                    | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2318849.50   | 0.06%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                   | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1626200 | PA      | $1604108.56   | 0.04%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | CNH CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | DE        |   6703000 | NC      | $21668.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F72D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160756 | PA      | $157482.15    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                   | DBJPM 2016-C3 Mortgage Trust                                                     | CUSIP: 23312VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684060 | PA      | $1656986.46   | 0.04%             | 2049-08-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                       | Eaton Corp                                                                       | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    158000 | PA      | $135881.98    | 0.00%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1702906.29   | 0.04%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RITE AID COMMON EQUITY                           | RITE AID COMMON EQUITY                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       597 | NS      | $0.06         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K87 Mortgage Trust                                                    | CUSIP: 35709CAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3550000 | PA      | $3494103.83   | 0.09%             | 2051-01-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                           | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1215000 | PA      | $1259399.75   | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: —       |
| JERSEY CENTRAL PWR & LT                          | Jersey Central Power & Light Co                                                  | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    525000 | PA      | $524012.45    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                   | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     77000 | PA      | $64418.28     | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    596000 | PA      | $571892.62    | 0.01%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233731 | PA      | $199005.70    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857505 | PA      | $844446.31    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                           | CVS Pass-Through Trust                                                           | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    139057 | PA      | $140929.06    | 0.00%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3800000 | PA      | $3878666.84   | 0.10%             | 2028-09-30      | Fixed         | 5.52%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1773298.53   | 0.04%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2831 | PA      | $2918.34      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS BRL PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -337000 | NC      | $-1093.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YMY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12846 | PA      | $11411.92     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 31325YQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7357901 | PA      | $399577.24    | 0.01%             | 2037-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                | Cisco Systems Inc                                                                | CUSIP: 17275RBV3<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |    245000 | PA      | $236294.27    | 0.01%             | 2064-02-26      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                     | Evergy Metro Inc                                                                 | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    561000 | PA      | $445772.87    | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                              | NCL Corp Ltd                                                                     | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    185000 | PA      | $188931.25    | 0.00%             | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24308.04     | 0.00%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383LEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15204706 | PA      | $1016261.30   | 0.03%             | 2052-11-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136AKZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1383780 | PA      | $1270574.89   | 0.03%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                        | PG&E Corp                                                                        | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    275000 | PA      | $260830.19    | 0.01%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2800099 | PA      | $2219064.97   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                 | Puget Energy Inc                                                                 | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2020000 | PA      | $2035562.02   | 0.05%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GNE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47016 | PA      | $43327.46     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23149 | PA      | $21552.53     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H7BF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453948 | PA      | $12269.94     | 0.00%             | 2052-05-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                              | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1648962.09   | 0.04%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    465000 | PA      | $464620.73    | 0.01%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                            | Polen Capital CLO 2025-1 Ltd                                                     | CUSIP: 73110MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8750000 | PA      | $8785000.00   | 0.22%             | 2038-03-06      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-F                                 | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246154 | PA      | $229417.46    | 0.01%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | Southern California Gas Co                                                       | CUSIP: 842434DA7<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292380.74    | 0.01%             | 2054-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26336 | PA      | $26663.30     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2021-4 Mortgage Loan Trust                                                  | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4844218 | PA      | $4123414.89   | 0.10%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YJDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176845 | PA      | $159061.04    | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                     | St Paul's CLO IV DAC                                                             | CUSIP: 000000000<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1583406 | PA      | $1860473.27   | 0.05%             | 2030-04-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                         | Petrobras Global Finance BV                                                      | CUSIP: 000000000<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    274000 | PA      | $371216.72    | 0.01%             | 2034-01-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1803099.97   | 0.04%             | N/A             | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36230Q6G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16358 | PA      | $15259.40     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36182K7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5761 | PA      | $5369.91      | 0.00%             | 2043-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                     | NiSource Inc                                                                     | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    790000 | PA      | $758813.59    | 0.02%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1421619.49   | 0.04%             | 2031-01-30      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | USD CALL VERSUS CNH PUT                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | DE        |   6703000 | NC      | $358.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M56F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6784 | PA      | $7061.78      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207460 | PA      | $186400.29    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135949 | PA      | $1145074.77   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2839660 | PA      | $2259692.87   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                           | Barrick North America Finance LLC                                                | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $17123.23     | 0.00%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-135006.69   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589655 | PA      | $554895.35    | 0.01%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                          | OHA Credit Partners XVII Ltd                                                     | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8750000 | PA      | $8778502.25   | 0.22%             | 2038-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                         | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co    | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2546547.57   | 0.06%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    933136 | PA      | $786857.47    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | Edison International                                                             | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    125000 | PA      | $120862.48    | 0.00%             | 2053-06-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345657 | PA      | $298164.88    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2149264 | PA      | $1759061.48   | 0.04%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                          | SCF Equipment Trust 2016-1 LLC                                                   | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1989151.52   | 0.05%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31371NHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2897 | PA      | $3036.77      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31409GTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       750 | PA      | $785.76       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412BWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7597 | PA      | $7939.86      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1035336.05   | 0.03%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    484000 | PA      | $434903.37    | 0.01%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    540000 | PA      | $527525.95    | 0.01%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    161000 | PA      | $120945.30    | 0.00%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1573000 | PA      | $1567273.61   | 0.04%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                           | Roper Technologies Inc                                                           | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    650000 | PA      | $577732.70    | 0.01%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    555000 | NC      | $1.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $905413.45    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666014 | PA      | $608526.60    | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1310160.45   | 0.03%             | 2054-01-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548413 | PA      | $500432.14    | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K97 Mortgage Trust                                                    | CUSIP: 30298PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2095000 | PA      | $1995762.57   | 0.05%             | 2051-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $405741.63    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                         | Israel Electric Corp Ltd                                                         | CUSIP: 465077AL9<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |    498000 | PA      | $483179.52    | 0.01%             | 2028-08-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    745000 | PA      | $664287.58    | 0.02%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GUHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27917 | PA      | $25922.70     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                          | Shell International Finance BV                                                   | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    665000 | PA      | $736659.54    | 0.02%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                      | Viatris Inc                                                                      | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2088754.57   | 0.05%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418UB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9224 | PA      | $9338.30      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                       | Kenvue Inc                                                                       | CUSIP: 49177JAS1<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    665000 | PA      | $672748.97    | 0.02%             | 2032-05-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    520000 | PA      | $471997.51    | 0.01%             | 2030-06-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    207000 | PA      | $206630.74    | 0.01%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2021-2                                    | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485501 | PA      | $484818.11    | 0.01%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                                              | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1150000 | PA      | $536832.61    | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080633 | PA      | $1018860.68   | 0.03%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501183 | PA      | $419429.55    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2478 | PA      | $2597.36      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 24 Ltd                                        | CUSIP: 64130HAU5<br>LEI: 549300E610NX15ZSSH14 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4766625.00   | 0.12%             | 2038-10-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1003000 | PA      | $947700.17    | 0.02%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    170000 | PA      | $162404.08    | 0.00%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                          | CF Hippolyta Issuer LLC                                                          | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905504 | PA      | $895813.73    | 0.02%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441642 | PA      | $429934.13    | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2022-4                                                 | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4326049 | PA      | $4136669.23   | 0.10%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                   | Natixis Commercial Mortgage Securities Trust 2018-SOX                            | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $305039.19    | 0.01%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    976000 | PA      | $795416.05    | 0.02%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2025-C32                                                    | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4782296 | PA      | $408450.68    | 0.01%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39943 | PA      | $37554.20     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FTKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170173 | PA      | $150526.07    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4256503 | PA      | $3619620.76   | 0.09%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2169599 | PA      | $1905468.63   | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    685000 | PA      | $657019.46    | 0.02%             | 2034-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2023-B40 Mortgage Trust                                                | CUSIP: 08163WAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5436844 | PA      | $317416.00    | 0.01%             | 2056-12-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                             | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    370000 | PA      | $397818.48    | 0.01%             | 2034-03-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132H3K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469464 | PA      | $451169.89    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                  | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    915000 | PA      | $924462.29    | 0.02%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430498 | PA      | $1193068.62   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500624.10    | 0.01%             | 2040-06-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    804000 | PA      | $826619.42    | 0.02%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                          | Shell International Finance BV                                                   | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    874000 | PA      | $562237.47    | 0.01%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $2188700.26   | 0.05%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   1005000 | OU      | $9507.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                         | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $105062.36    | 0.00%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                   | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $167535.83    | 0.00%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                             | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    410000 | PA      | $413664.57    | 0.01%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBQ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1051586 | PA      | $883415.34    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                          | United Airlines 2014-1 Class A Pass Through Trust                                | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    107907 | PA      | $106956.64    | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5019236.50   | 0.12%             | 2037-04-28      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                        | Chesapeake Funding II LLC                                                        | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    660479 | PA      | $667098.05    | 0.02%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    410000 | PA      | $400974.27    | 0.01%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LRBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210227 | PA      | $194040.43    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1228836 | PA      | $1135586.55   | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637046 | PA      | $1298546.28   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    775000 | PA      | $790881.59    | 0.02%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CO                                      | Southern Co/The                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    520000 | PA      | $543580.79    | 0.01%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21273 | PA      | $20697.10     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    912000 | PA      | $866584.30    | 0.02%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                         | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61331.64     | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                               | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $198638.40    | 0.00%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5557973 | PA      | $5474122.93   | 0.14%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176H7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51175 | PA      | $47705.32     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association            | JPY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1276.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                          | Exxon Mobil Corp                                                                 | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    534000 | PA      | $438522.94    | 0.01%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ADSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4750049 | PA      | $4356506.92   | 0.11%             | 2065-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    611000 | PA      | $634065.25    | 0.02%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                  | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    117000 | PA      | $103131.83    | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                 | CSC Holdings LLC                                                                 | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    260000 | PA      | $238092.79    | 0.01%             | 2028-02-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2021-NQM3 Trust                                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4407993 | PA      | $3606493.61   | 0.09%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| iShares Core U.S. Aggregate Bond ETF             | iShares Core U.S. Aggregate Bond ETF                                             | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             | EC               | RF                | US        |    833615 | NS      | $82694608.00  | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    310000 | PA      | $277401.76    | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146616 | PA      | $138828.72    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    355000 | PA      | $324555.34    | 0.01%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NR6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448882 | PA      | $429636.65    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                   | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4073564 | PA      | $3580260.14   | 0.09%             | 2066-08-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870087 | PA      | $1609772.71   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33775 | PA      | $33728.88     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                             | Southern Copper Corp                                                             | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |   1587000 | PA      | $1471942.50   | 0.04%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                               | Trane Technologies Financing Ltd                                                 | CUSIP: 892938AB7<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |     75000 | PA      | $76011.45     | 0.00%             | 2034-06-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $337.29       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2126136.48   | 0.05%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   2950000 | PA      | $2751588.45   | 0.07%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKVC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418350 | PA      | $407583.89    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                      | Southern Co/The                                                                  | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1590109.98   | 0.04%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136AL3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1847753 | PA      | $1677784.96   | 0.04%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    745000 | PA      | $637324.22    | 0.02%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    882000 | PA      | $566171.80    | 0.01%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3618JLGF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987849 | PA      | $2104950.29   | 0.05%             | 2054-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz                   | SFS Auto Receivables Securitization Trust 2023-1                                 | CUSIP: 78398AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1670000 | PA      | $1699619.45   | 0.04%             | 2029-12-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K102 Mortgage Trust                                                   | CUSIP: 30312WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3868000 | PA      | $3604410.89   | 0.09%             | 2051-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                   | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350400 | PA      | $3191872.81   | 0.08%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1470891 | PA      | $1435105.47   | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7756685 | PA      | $7752291.44   | 0.19%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | INR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1645.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance                    | Citibank Credit Card Issuance Trust                                              | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    737000 | PA      | $733431.22    | 0.02%             | 2030-10-13      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 17-K68 Mortgage Trust                                                      | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3550000 | PA      | $3485794.70   | 0.09%             | 2049-10-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                          | Connecticut Light and Power Co/The                                               | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1268978.23   | 0.03%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3650000 | PA      | $3552837.00   | 0.09%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176H7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71192 | PA      | $66363.54     | 0.00%             | 2043-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297G6W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1647 | PA      | $1706.72      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    805000 | PA      | $824558.80    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31374TFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       236 | PA      | $241.58       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | BRL/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-38988.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7915000 | PA      | $7834613.28   | 0.19%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz                   | SFS Auto Receivables Securitization Trust 2024-1                                 | CUSIP: 78435VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $290611.22    | 0.01%             | 2031-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMW27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271488 | PA      | $237270.00    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264915 | PA      | $250926.57    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3076075 | PA      | $2588177.22   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3293 | PA      | $3200.68      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7811421 | PA      | $7743986.32   | 0.19%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                               | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    176000 | PA      | $206347.39    | 0.01%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    766000 | PA      | $738296.91    | 0.02%             | 2027-06-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322085 | PA      | $1224072.99   | 0.03%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22630000 | PA      | $21869773.44  | 0.54%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569081 | PA      | $497878.14    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383DY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2350540 | PA      | $2094308.78   | 0.05%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543984 | PA      | $481661.76    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                         | Five Point Operating Co LP / Five Point Capital Corp                             | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    918854 | PA      | $935034.66    | 0.02%             | 2028-01-15      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -281000 | NC      | $-2017.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    290000 | PA      | $224047.50    | 0.01%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                            | Uber Technologies Inc                                                            | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123059.91    | 0.00%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2017-C41                                   | CUSIP: 95001ABC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3196000 | PA      | $3124612.23   | 0.08%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS KRW PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -553000 | NC      | $-335.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK16                                                                  | CUSIP: 065405AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1761235.38   | 0.04%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1035012.48   | 0.03%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J1HU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2746784 | PA      | $2123558.62   | 0.05%             | 2035-09-01      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                  | Israel Government International Bond                                             | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1040000 | PA      | $939900.00    | 0.02%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249179.69    | 0.01%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CT9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1552440.15   | 0.04%             | 2031-02-22      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                  | BAE Systems PLC                                                                  | CUSIP: 05523RAJ6<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1225000 | PA      | $1254788.57   | 0.03%             | 2029-03-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4646305 | PA      | $4545081.15   | 0.11%             | 2052-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                 | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -17 | NC      | $-10625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC 2025-2                                           | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $937714.49    | 0.02%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36180KRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6951 | PA      | $6479.89      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $1047429.43   | 0.03%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280042 | PA      | $279395.13    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    424000 | PA      | $417499.53    | 0.01%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    575000 | PA      | $604483.53    | 0.01%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    435000 | PA      | $425226.03    | 0.01%             | N/A             | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6858906.25   | 0.17%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55202 | PA      | $56568.83     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714320 | PA      | $599580.05    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                      | Cencora Inc                                                                      | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1008017.52   | 0.02%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI                   | Bay Area Toll Authority                                                          | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    950000 | PA      | $1088066.44   | 0.03%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582581 | PA      | $488006.69    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164731 | PA      | $138049.28    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230075 | PA      | $1241634.68   | 0.03%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191195 | PA      | $175263.62    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    455000 | PA      | $416295.05    | 0.01%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830833 | PA      | $697198.06    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $362314.68    | 0.01%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS BRL PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    551000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98423 | PA      | $94858.55     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intelsat SA/Luxembourg                           | Intelsat SA/Luxembourg                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     19688 | NS      | $854459.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | EURO-BUND                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -13 | NC      | $10305.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PEACEHEALTH OBLIGATED GR                         | PeaceHealth Obligated Group                                                      | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    168000 | PA      | $165585.39    | 0.00%             | 2025-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9761 | PA      | $9685.65      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13342240 | PA      | $11697179.24  | 0.29%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                            | Micron Technology Inc                                                            | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317307.28    | 0.01%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       495 | NC      | $967082.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13425000 | PA      | $13471148.44  | 0.33%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578793 | PA      | $579559.00    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                         | Patterson-UTI Energy Inc                                                         | CUSIP: 703481AD3<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |    805000 | PA      | $824179.50    | 0.02%             | 2033-10-01      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7416000 | PA      | $6558408.49   | 0.16%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                            | AIMCO CLO 18 Ltd                                                                 | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |   6000000 | PA      | $6019493.40   | 0.15%             | 2037-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137BG3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4085252 | PA      | $3695945.03   | 0.09%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2105925 | PA      | $1873013.10   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2019-GC41                                    | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27180340 | PA      | $852470.60    | 0.02%             | 2056-08-10      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31371L4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9173 | PA      | $9455.52      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52702 | PA      | $50764.69     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410C3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       575 | PA      | $593.08       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                           | Darden Restaurants Inc                                                           | CUSIP: 237194AL9<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    950000 | PA      | $942203.38    | 0.02%             | 2027-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |  -9700000 | OU      | $-3120.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                              | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1937390.78   | 0.05%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132J4JH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4753 | PA      | $4703.02      | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                           | Williams Cos Inc/The                                                             | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    417000 | PA      | $391794.08    | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411HA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5330 | PA      | $5522.54      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2017-1                                       | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2856314 | PA      | $2776149.24   | 0.07%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20759294 | PA      | $17994130.50  | 0.44%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2018-BNK11                                                                  | CUSIP: 06540TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4161502 | PA      | $4094357.01   | 0.10%             | 2061-03-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS MXN PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -555000 | NC      | $-299.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   6245000 | PA      | $6282688.58   | 0.16%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9598 | PA      | $9018.78      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                           | Barrick North America Finance LLC                                                | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $105606.24    | 0.00%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J95Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469237 | PA      | $445233.07    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05571AAU9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1465000 | PA      | $1515327.44   | 0.04%             | 2035-01-18      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    285000 | PA      | $289761.59    | 0.01%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                               | Conagra Brands Inc                                                               | CUSIP: 205887CJ9<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1459788.48   | 0.04%             | 2026-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                         | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                        | CUSIP: 71568QAC1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    232000 | PA      | $229100.00    | 0.01%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORAN FOODS LLC                                  | MORAN FOODS LLC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    631488 | PA      | $442041.62    | 0.01%             | 2026-12-31      | Floating      | 9.59%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2745774 | PA      | $2746289.75   | 0.07%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | Consumer Portfolio Services Auto Trust 2025-B                                    | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2535000 | PA      | $2552745.76   | 0.06%             | 2031-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2021-2 Mortgage Loan Trust                                                  | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3297402 | PA      | $2770242.34   | 0.07%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    266000 | PA      | $236231.67    | 0.01%             | 2031-04-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | ZAR CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    337000 | NC      | $6.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069169 | PA      | $897431.65    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    909000 | PA      | $582261.76    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec                   | American Credit Acceptance Receivables Trust 2024-4                              | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2228000 | PA      | $2233208.62   | 0.06%             | 2031-08-12      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2021-3 Mortgage Loan Trust                                                  | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4487988 | PA      | $3741647.21   | 0.09%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192071 | PA      | $1219246.52   | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    320000 | PA      | $329257.06    | 0.01%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18981 | PA      | $17816.33     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367408 | PA      | $322617.44    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740310 | PA      | $1458307.16   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SALT RIVER AZ PROJ AGRIC IMPT                    | Salt River Project Agricultural Improvement & Power District                     | CUSIP: 79575DE63<br>LEI: SHB8HO6GKXJ83RX5OV39 | Long             | DBT              | MUN               | US        |    515000 | PA      | $484836.16    | 0.01%             | 2041-01-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                            | Republic Services Inc                                                            | CUSIP: 760759BB5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158387.36    | 0.00%             | 2029-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HC2C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2246000 | PA      | $2329429.92   | 0.06%             | 2029-01-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD/CZK FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-40298.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                     | AutoZone Inc                                                                     | CUSIP: 053332BH4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    845000 | PA      | $932812.70    | 0.02%             | 2033-11-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK20                                                                  | CUSIP: 06540AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3539765 | PA      | $3309936.74   | 0.08%             | 2062-09-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                  | CUSIP: 46651MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $453962.50    | 0.01%             | 2036-07-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034298 | PA      | $958087.90    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410SPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1374 | PA      | $1418.25      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                   | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |   3664268 | PA      | $3687211.62   | 0.09%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    475000 | PA      | $432039.98    | 0.01%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI                   | Pennsylvania Turnpike Commission                                                 | CUSIP: 709223A27<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |    270000 | PA      | $267344.72    | 0.01%             | 2045-12-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                           | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3765000 | PA      | $4023128.40   | 0.10%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    780000 | PA      | $661136.26    | 0.02%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE                   | City of San Antonio TX Electric & Gas Systems Revenue                            | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |    305000 | PA      | $307383.86    | 0.01%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                             | CUSIP: 78017DAA6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1750000 | PA      | $1773480.80   | 0.04%             | 2029-01-24      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV                                     | Ohio State University/The                                                        | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    865000 | PA      | $726137.38    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                          | Eni SpA                                                                          | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    550000 | PA      | $529154.01    | 0.01%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    251000 | PA      | $210111.75    | 0.01%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    500000 | PA      | $477233.75    | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trus                   | TEXAS Commercial Mortgage Trust 2025-TWR                                         | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2774793.89   | 0.07%             | 2042-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549613 | PA      | $462414.77    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STAR LEASING CO LLC                              | Star Leasing Co LLC                                                              | CUSIP: 854938AA5<br>LEI: 549300WXKNX4PT3HSN71 | Long             | DBT              | CORP              | US        |    390000 | PA      | $386640.05    | 0.01%             | 2030-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| VENATOR FIN SARL                                 | VENATOR FIN SARL                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    157167 | PA      | $155595.14    | 0.00%             | 2025-12-31      | Floating      | 15.33%                | No            |                  3 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    964000 | PA      | $964617.03    | 0.02%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |    276000 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1010000 | PA      | $1097112.50   | 0.03%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD CALL VERSUS KRW PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |  -1571000 | NC      | $-15105.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    654000 | PA      | $642169.53    | 0.02%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    430000 | PA      | $374820.62    | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.80        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KTDC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       621 | PA      | $653.20       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848649 | PA      | $848808.12    | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7DH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9631 | PA      | $9992.12      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                         | EIDP Inc                                                                         | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1258345.36   | 0.03%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    200000 | PA      | $167662.20    | 0.00%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1308493.00   | 0.03%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14470000 | PA      | $14683658.59  | 0.36%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                             | Freeport-McMoRan Inc                                                             | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     36000 | PA      | $35727.71     | 0.00%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31408GQP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1431 | PA      | $1492.68      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    530000 | PA      | $528751.77    | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                       | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306683.14    | 0.01%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                   | Sofi Professional Loan Program 2019-C LLC                                        | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279585 | PA      | $268455.97    | 0.01%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                           | Lumen Technologies Inc                                                           | CUSIP: 550241AH6<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |       722 | PA      | $702.84       | 0.00%             | 2030-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |  -9700000 | OU      | $-21893.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                            | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    890000 | PA      | $889110.00    | 0.02%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                | NSTAR Electric Co                                                                | CUSIP: 67021CAW7<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    620000 | PA      | $625529.38    | 0.02%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    151000 | PA      | $121202.84    | 0.00%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC                                   | AptarGroup Inc                                                                   | CUSIP: 038336AA1<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |   3450000 | PA      | $3179706.54   | 0.08%             | 2032-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                            | NYU Langone Hospitals                                                            | CUSIP: 62952EAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $149764.51    | 0.00%             | 2047-07-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    730000 | PA      | $747427.54    | 0.02%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| STARBUCKS CORP                                   | Starbucks Corp                                                                   | CUSIP: 855244BL2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    455000 | PA      | $460654.80    | 0.01%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2018-1745                                  | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $136499.34    | 0.00%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9182 | PA      | $9074.09      | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                               | Siemens Funding BV                                                               | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $908314.02    | 0.02%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91441 | PA      | $85631.15     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NXFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4032855.96   | 0.10%             | 2032-07-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                              | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    600000 | PA      | $551997.22    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                            | Whistler Pipeline LLC                                                            | CUSIP: 96337RAA0<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25305.17     | 0.00%             | 2029-09-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    740000 | PA      | $754150.99    | 0.02%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                           | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    369000 | PA      | $368077.50    | 0.01%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H3PZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22533 | PA      | $19978.24     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    780000 | PA      | $799541.96    | 0.02%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp II                                                   | CUSIP: 36269JAA6<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   4560000 | PA      | $4581922.20   | 0.11%             | 2041-03-10      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1791841 | PA      | $1430830.38   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1584000 | PA      | $1566189.55   | 0.04%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114769 | PA      | $106155.13    | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   2825000 | PA      | $2933538.76   | 0.07%             | 2042-02-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MST70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602344 | PA      | $579318.91    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                    | BAMLL Re-REMIC Trust 2025-FRR5                                                   | CUSIP: 05494BBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4787000 | PA      | $3881132.53   | 0.10%             | 2051-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                         | Constellation Energy Generation LLC                                              | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $981738.96    | 0.02%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MBS7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $3216319.36   | 0.08%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                         | Caterpillar Financial Services Corp                                              | CUSIP: 14913UAU4<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1390115.46   | 0.03%             | 2029-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/TRY FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8302.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | JPY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3565.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | TWD CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |   -281000 | NC      | $-2017.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930002 | PA      | $774235.40    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                              | Emera US Finance LP                                                              | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1142203.78   | 0.03%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                               | Cenovus Energy Inc                                                               | CUSIP: 15135UAW9<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   3855000 | PA      | $3324057.02   | 0.08%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                   | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    145000 | PA      | $118792.79    | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Tikehau US CLO Ltd                               | Tikehau US CLO III Ltd                                                           | CUSIP: 88676NAQ0<br>LEI: 549300W9XQOIYX4MC726 | Long             | ABS-CBDO         | CORP              | BM        |   8250000 | PA      | $8287475.63   | 0.20%             | 2036-01-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                                | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    717000 | PA      | $827718.95    | 0.02%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    221000 | PA      | $217755.14    | 0.01%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XH3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1368685 | PA      | $1195950.83   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412B4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187 | PA      | $194.96       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                              | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |    203833 | PA      | $204006.33    | 0.01%             | 2031-01-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                     | Calpine Corp                                                                     | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59330.03     | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412BFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78 | PA      | $81.42        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                           | Protective Life Global Funding                                                   | CUSIP: 74368CCC6<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    625000 | PA      | $632891.93    | 0.02%             | 2030-06-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570271 | PA      | $480648.82    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RITE AID CORP                                    | Rite Aid Corp                                                                    | CUSIP: 767754CT9<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |     86325 | PA      | $0.09         | 0.00%             | 2031-08-30      | Variable      | 15.00%                | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corpora                   | Chase Home Lending Mortgage Trust Series 2024-RPL3                               | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466920 | PA      | $415152.65    | 0.01%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 29273VAT7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $997702.86    | 0.02%             | 2030-12-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUH71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136636 | PA      | $127034.02    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE LLC                          | INCORA INTERMEDIATE LLC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       869 | NS      | $17371.31     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Henley Funding Ltd.                              | Henley Clo Xi DAC                                                                | CUSIP: 000000000<br>LEI: 6354004ZEQIYPXESRG76 | Long             | ABS-CBDO         | CORP              | IE        |   5000000 | PA      | $5901295.68   | 0.15%             | 2039-04-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                          | American Electric Power Co Inc                                                   | CUSIP: 025537AV3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2630675.98   | 0.07%             | 2027-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512906 | PA      | $1498911.33   | 0.04%             | 2052-03-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136B9GC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460711 | PA      | $58622.67     | 0.00%             | 2050-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410E6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1331 | PA      | $1375.93      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                   | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1877479.90   | 0.05%             | 2037-11-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36178DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19626 | PA      | $18295.16     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10790000 | PA      | $6941004.69   | 0.17%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/CNH FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16149.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | Barclays Commercial Mortgage Trust 2019-C3                                       | CUSIP: 05550MAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478768 | PA      | $58810.01     | 0.00%             | 2052-05-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                  | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143920.80    | 0.00%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                   | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2076288 | PA      | $1868927.42   | 0.05%             | 2051-04-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                    | AIB Group PLC                                                                    | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2500000 | PA      | $2573283.50   | 0.06%             | 2035-03-28      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                             | Taylor Morrison Communities Inc                                                  | CUSIP: 87724RAA0<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    249000 | PA      | $252982.20    | 0.01%             | 2027-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-3                                                                      | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377175 | PA      | $379277.22    | 0.01%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | EUR CALL VERSUS PLN PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -484000 | NC      | $-1583.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12541 | PA      | $12516.57     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                     | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $493573.78    | 0.01%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA REVENUES                      | University of California                                                         | CUSIP: 91412GC86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    119000 | PA      | $97287.16     | 0.00%             | 2115-05-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2638794.00   | 0.07%             | 2053-07-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    149000 | PA      | $147945.56    | 0.00%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950000 | PA      | $2002085.88   | 0.05%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    310000 | PA      | $315997.17    | 0.01%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4001122 | PA      | $4001874.30   | 0.10%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19346 | PA      | $19032.64     | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                 | Hewlett Packard Enterprise Co                                                    | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1261337.74   | 0.03%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                           | Protective Life Global Funding                                                   | CUSIP: 74368CBY9<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308344.57    | 0.01%             | 2029-06-12      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54953.34     | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11908250 | PA      | $9946205.43   | 0.25%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS JPY PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |   -555000 | NC      | $-2474.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-1 AA PTT                         | American Airlines 2016-1 Class AA Pass Through Trust                             | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    101264 | PA      | $98078.98     | 0.00%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    517000 | PA      | $429330.36    | 0.01%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                            | Haleon US Capital LLC                                                            | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $374190.68    | 0.01%             | 2032-03-24      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                               | Serbia International Bond                                                        | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    800000 | PA      | $826000.00    | 0.02%             | 2028-05-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611856 | PA      | $535176.65    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HMBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2824785 | PA      | $2828788.57   | 0.07%             | 2055-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                   | Apidos CLO XV                                                                    | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |    135904 | PA      | $136074.47    | 0.00%             | 2031-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                                | CUSIP: 30040WAU2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    710000 | PA      | $709977.71    | 0.02%             | 2033-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAD5<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $958561.24    | 0.02%             | 2047-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    880000 | PA      | $894919.62    | 0.02%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BSPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417370 | PA      | $1431395.03   | 0.04%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                               | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3551000 | PA      | $3166107.26   | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                         | Citizens Financial Group Inc                                                     | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1099422.93   | 0.03%             | 2031-03-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                     | Calpine Corp                                                                     | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     39000 | PA      | $38484.56     | 0.00%             | 2029-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                               | Bacardi-Martini BV                                                               | CUSIP: 05634WAB8<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    605000 | PA      | $623061.61    | 0.02%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36177PMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4802 | PA      | $4494.40      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4120000 | PA      | $3764105.34   | 0.09%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                 | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    535000 | PA      | $550029.19    | 0.01%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3441565 | PA      | $3323400.10   | 0.08%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI                   | Pennsylvania Turnpike Commission                                                 | CUSIP: 709223VZ1<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |    103000 | PA      | $109006.45    | 0.00%             | 2039-12-01      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                       | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1974000 | PA      | $1887740.76   | 0.05%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| DIST OF COLUMBIA UNIV REVENUE                    | District of Columbia                                                             | CUSIP: 25484JDK3<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |    225000 | PA      | $232702.98    | 0.01%             | 2035-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312927E85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2116 | PA      | $2190.41      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4896657 | PA      | $4822784.60   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2669745.23   | 0.07%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | Fiserv Inc                                                                       | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2205161.62   | 0.05%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | BBCMS Mortgage Trust 2024-C24                                                    | CUSIP: 07336VAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8065608 | PA      | $794673.70    | 0.02%             | 2057-02-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2171892 | PA      | $2181687.56   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                   | IDR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2385.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KLN52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    890286 | PA      | $771526.08    | 0.02%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H4HW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29598 | PA      | $28785.96     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1085000 | PA      | $1101497.21   | 0.03%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288BV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       971 | PA      | $1008.06      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                            | Tenet Healthcare Corp                                                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    275000 | PA      | $266908.87    | 0.01%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $862808.85    | 0.02%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49577 | PA      | $39846.27     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4280000 | PA      | $4343492.94   | 0.11%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2027290 | PA      | $1926543.25   | 0.05%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $194654.48    | 0.00%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                   | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $3194600.96   | 0.08%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                         | Packaging Corp of America                                                        | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1032016.77   | 0.03%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                          | Tennessee Valley Authority Generic Strip                                         | CUSIP: 88059E5L4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    123000 | PA      | $86178.57     | 0.00%             | 2033-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                         | Equitable Financial Life Global Funding                                          | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    705000 | PA      | $715552.10    | 0.02%             | 2030-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lugo Funding DAC                                 | Lugo Funding DAC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   2100000 | PA      | $2457314.19   | 0.06%             | 2066-05-26      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46891 | PA      | $46350.61     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2511370.75   | 0.06%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472434 | PA      | $479467.91    | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1697241.77   | 0.04%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3115038 | PA      | $2995896.20   | 0.07%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569390 | PA      | $517461.08    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2024-CES1                                                    | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681430 | PA      | $685329.18    | 0.02%             | 2044-02-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306786 | PA      | $295275.35    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                   | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546326 | PA      | $552542.64    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NMVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259437 | PA      | $248241.41    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                          | Hungary Government International Bond                                            | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    830000 | PA      | $832232.70    | 0.02%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                           | Power Finance Corp Ltd                                                           | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    300000 | PA      | $295899.00    | 0.01%             | 2029-06-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448856 | PA      | $402695.66    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2024-1 LLC                                                                   | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429678 | PA      | $436504.82    | 0.01%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                          | Laboratory Corp of America Holdings                                              | CUSIP: 50540RAZ5<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2552409.21   | 0.06%             | 2030-04-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                              | CUSIP: 375558BZ5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1348769.77   | 0.03%             | 2033-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| PPM CLO LTD                                      | PPM CLO 2018-1 Ltd                                                               | CUSIP: 69355DAA5<br>LEI: 549300NI5BL19ELU5U14 | Long             | ABS-CBDO         | CORP              | KY        |    450915 | PA      | $451051.21    | 0.01%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    211000 | PA      | $210415.52    | 0.01%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                   | Home Depot Inc/The                                                               | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    414000 | PA      | $330479.31    | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                  | Xcel Energy Inc                                                                  | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    735000 | PA      | $718972.53    | 0.02%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                         | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    925000 | PA      | $953992.78    | 0.02%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BGPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1526066 | PA      | $1462705.08   | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                               | Coterra Energy Inc                                                               | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    202000 | PA      | $203670.70    | 0.01%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FN 4.84 17JUN33                                  | FN 4.84 17JUN33                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3022032.00   | 0.07%             | 2033-06-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                              | CBAM 2019-11R Ltd                                                                | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3040000 | PA      | $3045187.76   | 0.08%             | 2035-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                         | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103000 | PA      | $101682.85    | 0.00%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                | Wellfleet CLO 2022-2 Ltd                                                         | CUSIP: 94949FAN3<br>LEI: 2549008BRKHJZB917M86 | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8011705.60   | 0.20%             | 2037-10-18      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GENON HLDGS CLASS A                              | GENON HLDGS CLASS A                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14898 | NS      | $446940.00    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ESC NMG Parent LLC                               | ESC NMG Parent LLC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       956 | NS      | $9560.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| PRP Advisors, LLC                                | PRPM 2025-RCF3 LLC                                                               | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2398126.56   | 0.06%             | 2055-07-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3888463 | PA      | $3831674.06   | 0.09%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564300 | PA      | $506939.51    | 0.01%             | 2057-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    740000 | PA      | $717177.04    | 0.02%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1412910 | PA      | $1228698.59   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KTTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624065 | PA      | $470831.84    | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3817000 | PA      | $3855857.06   | 0.10%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149944 | PA      | $131381.66    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                              | Elmwood CLO III Ltd                                                              | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6750000 | PA      | $6770961.45   | 0.17%             | 2037-07-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                         | Mars Inc                                                                         | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2437161.89   | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2001824 | PA      | $2002200.44   | 0.05%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3335000 | PA      | $3397624.96   | 0.08%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                       | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1098375.08   | 0.03%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HLZC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750000 | PA      | $1751541.58   | 0.04%             | 2055-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS CLP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    555000 | NC      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1106000 | PA      | $825850.20    | 0.02%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                               | AMN Healthcare Inc                                                               | CUSIP: 00175PAC7<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |    525000 | PA      | $487102.06    | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648997 | PA      | $550147.20    | 0.01%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3618JLGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1489961 | PA      | $1563344.26   | 0.04%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $993470.33    | 0.02%             | 2049-07-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                          | SCF Equipment Trust 2016-1 LLC                                                   | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628000 | PA      | $646852.69    | 0.02%             | 2035-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                | Atmos Energy Corp                                                                | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    800000 | PA      | $858420.80    | 0.02%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136195 | PA      | $136037.88    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                           | Bunge Ltd Finance Corp                                                           | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1809811.76   | 0.04%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1844446.88   | 0.05%             | 2042-05-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4157428.64   | 0.10%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                         | Western Midstream Operating LP                                                   | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    441000 | PA      | $371453.57    | 0.01%             | 2050-02-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ERM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589597 | PA      | $600872.49    | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                   | CSAIL 2018-CX12 Commercial Mortgage Trust                                        | CUSIP: 12595XAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $69102.47     | 0.00%             | 2051-08-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | GBP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-124606.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M8BH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298249 | PA      | $279504.91    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                            | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                         | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $315968.16    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661669 | PA      | $555544.46    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X4H25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155563 | PA      | $142506.47    | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570739 | PA      | $557102.92    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NEE7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    420000 | PA      | $418807.05    | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $191995.03    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5465000 | PA      | $4674340.00   | 0.12%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1673715.43   | 0.04%             | 2028-07-25      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114103 | PA      | $109504.06    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1708675 | PA      | $1425087.15   | 0.04%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536554 | PA      | $551358.12    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60267 | PA      | $55040.40     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    655000 | PA      | $584977.32    | 0.01%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                       | Humana Inc                                                                       | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005047.90   | 0.02%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                         | MPH ACQUISITION HOLDINGS LLC                                                     | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    125080 | PA      | $123203.84    | 0.00%             | 2030-12-31      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| SOMPO INTL HLDS LTD                              | Sompo International Holdings Ltd                                                 | CUSIP: 29267HAA7<br>LEI: 54930073OSJENOG1DL54 | Long             | DBT              | CORP              | BM        |    309000 | PA      | $343330.58    | 0.01%             | 2034-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                          | Sasol Financing USA LLC                                                          | CUSIP: 80386WAB1<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    950000 | PA      | $901550.00    | 0.02%             | 2028-09-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5008471 | PA      | $4132578.06   | 0.10%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T INT BOND                             | Republic of Italy Government International Bond                                  | CUSIP: 465410BG2<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2182000 | PA      | $2257104.66   | 0.06%             | 2033-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31408AMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $495.10       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1402000 | PA      | $1280803.18   | 0.03%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                              | Sound Point CLO XXIII                                                            | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3130000 | PA      | $3134883.74   | 0.08%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85929 | PA      | $81891.02     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2025-SFR1 Trust                                             | CUSIP: 74334NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $3183086.61   | 0.08%             | 2042-02-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JEFFERSON MILL CLO LTD                           | Jefferson Mill CLO Ltd                                                           | CUSIP: 47421MBJ1<br>LEI: 549300RV1TCF15DHXS87 | Long             | ABS-CBDO         | CORP              | KY        |    728414 | PA      | $729108.60    | 0.02%             | 2031-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                           | CUSIP: 77586RAV2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    444000 | PA      | $410868.72    | 0.01%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                         | RTX Corp                                                                         | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    450000 | PA      | $288161.41    | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1904511 | PA      | $1656843.81   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                           | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $798744.68    | 0.02%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1883021 | PA      | $1659776.91   | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2446000 | PA      | $2470587.42   | 0.06%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159139 | PA      | $157879.36    | 0.00%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BVRT Financing Trust                             | BVRT 2025-1 LLC                                                                  | CUSIP: 05614UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3209755 | PA      | $3090047.19   | 0.08%             | 2033-05-10      | Floating      | 4.31%                 | No            |                  3 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1868181.57   | 0.05%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    585000 | PA      | $502972.77    | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    629000 | PA      | $672751.00    | 0.02%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                         | Devon Energy Corp                                                                | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    506000 | PA      | $467571.17    | 0.01%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518853 | PA      | $510463.13    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                           | Bimbo Bakeries USA Inc                                                           | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    750000 | PA      | $741000.00    | 0.02%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    604000 | PA      | $361668.89    | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKH78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2685175 | PA      | $2436039.63   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1246543 | PA      | $1053019.98   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1171881 | PA      | $1069336.93   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                                              | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2420000 | PA      | $1079845.34   | 0.03%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3654021 | PA      | $3078383.92   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    770000 | PA      | $780918.54    | 0.02%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11339000 | PA      | $10346837.50  | 0.26%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2023-1                                                 | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1765630 | PA      | $1705897.61   | 0.04%             | 2063-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411FKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       714 | PA      | $720.78       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31402VRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9420 | PA      | $9543.51      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                 | Puget Energy Inc                                                                 | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    300000 | PA      | $282133.50    | 0.01%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                | L3Harris Technologies Inc                                                        | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    465000 | PA      | $475714.86    | 0.01%             | 2029-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management               | Dreyfus Government Cash Management                                               | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |  31966985 | NS      | $31966985.29  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| PRIME BLOOM HOLDINGS LTD                         | Prime Bloom Holdings Ltd                                                         | CUSIP: 000000000<br>LEI: 3003000PGGCESUU1G875 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $1200.00      | 0.00%             | 2022-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ESC CB144A RITE AID CO 8.0 15NOV26               | ESC CB144A RITE AID CO 8.0 15NOV26                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    606000 | NS      | $0.61         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584599 | PA      | $599116.68    | 0.01%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                          | Liberty Interactive LLC                                                          | CUSIP: 530715AL5<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |    363351 | PA      | $36207.93     | 0.00%             | 2030-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7283 | PA      | $7634.36      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association            | MXN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11426.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5645000 | PA      | $4596159.56   | 0.11%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HBJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405997 | PA      | $384243.28    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                           | Cox Communications Inc                                                           | CUSIP: 224044CV7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    335000 | PA      | $310058.75    | 0.01%             | 2054-09-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                       | USD CALL VERSUS TRY PUT                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |   -276000 | NC      | $-92.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                           | Fairfax Financial Holdings Ltd                                                   | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   2760000 | PA      | $2862635.57   | 0.07%             | 2033-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                               | CNO Global Funding                                                               | CUSIP: 18977W2G4<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1175297.19   | 0.03%             | 2027-12-10      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507192 | PA      | $510109.24    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                         | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    272480 | PA      | $243989.24    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                 | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $438547.35    | 0.01%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                                | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    446000 | PA      | $454463.92    | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                 | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1239438.36   | 0.03%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL FUNDING                         | Lincoln Financial Global Funding                                                 | CUSIP: 53359KAB7<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    525000 | PA      | $528791.83    | 0.01%             | 2028-05-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                          | CDS SOFTBANK GROUP CORP                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-3734.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3795000 | PA      | $3809824.22   | 0.09%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21629 | PA      | $21500.26     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29258 | PA      | $28244.76     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                          | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    775000 | PA      | $807717.05    | 0.02%             | 2028-02-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                              | Braskem Netherlands Finance BV                                                   | CUSIP: 10554TAH8<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |   1320000 | PA      | $1149720.00   | 0.03%             | 2031-01-12      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LKFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $481910.88    | 0.01%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410GA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1084 | PA      | $1136.55      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   3973000 | PA      | $3965610.22   | 0.10%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |  12740000 | OU      | $13991.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2015-GS1                                            | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $109304.10    | 0.00%             | 2048-11-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2024-CES1                                              | CUSIP: 89183CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208332 | PA      | $209096.30    | 0.01%             | 2064-01-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1444000 | PA      | $1371875.86   | 0.03%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8146 | PA      | $8185.37      | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                           | Westinghouse Air Brake Technologies Corp                                         | CUSIP: 960386AS9<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    875000 | PA      | $886719.10    | 0.02%             | 2030-05-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                               | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $623148.66    | 0.02%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1814900 | PA      | $1849606.89   | 0.05%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562146 | PA      | $502337.73    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145561.24    | 0.00%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143351 | PA      | $131503.49    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWY48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2141838 | PA      | $2142240.88   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                | Generate CLO 2 Ltd                                                               | CUSIP: 370910AC5<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8534000.00   | 0.21%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                         | Madison Park Funding XXI Ltd                                                     | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4487397 | PA      | $4496379.12   | 0.11%             | 2032-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4614106.50   | 0.11%             | 2054-07-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                         | American Airlines 2016-2 Class AA Pass Through Trust                             | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177244 | PA      | $169883.66    | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                     | NiSource Inc                                                                     | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    250000 | PA      | $254391.53    | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65093 | PA      | $64237.31     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136ASXH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750958 | PA      | $1550153.38   | 0.04%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    529161 | PA      | $446887.42    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                            | Mexico Government International Bond                                             | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2105000 | PA      | $2194462.50   | 0.05%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    175000 | PA      | $151211.09    | 0.00%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                         | Columbia Pipelines Holding Co LLC                                                | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    545000 | PA      | $550912.66    | 0.01%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21893 | PA      | $20935.79     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                   | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    501000 | PA      | $452997.77    | 0.01%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410RJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       509 | PA      | $526.28       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1765273.26   | 0.04%             | 2029-01-24      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                     | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    615000 | PA      | $636893.57    | 0.02%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96749 | PA      | $90190.83     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2025-NQM6                                        | CUSIP: 10570MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1698667.71   | 0.04%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4846 | PA      | $4816.97      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    241000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914311 | PA      | $796977.72    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1101157 | PA      | $971657.04    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243754 | PA      | $1250906.49   | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                 | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    224510 | PA      | $224831.58    | 0.01%             | 2033-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred   | FERRELLGAS ESCROW LLC 3/30/31 Equity Preferred                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     75000 | NS      | $75000.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                     | EUR/PLN FORWARD                                                                  | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11004.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383PRN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942592 | PA      | $24189.92     | 0.00%             | 2052-03-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1015894 | PA      | $889289.61    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239844 | PA      | $1158032.65   | 0.03%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $112205.91    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                         | Lloyds Banking Group PLC                                                         | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1624000 | PA      | $1621693.43   | 0.04%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2017-K64 Mortgage Trust                                                    | CUSIP: 30296CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3455603.20   | 0.09%             | 2050-05-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5511000 | PA      | $4742043.28   | 0.12%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    775000 | PA      | $776995.86    | 0.02%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECS2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1531350.90   | 0.04%             | 2055-03-12      | Fixed         | 6.04%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3748780 | PA      | $3160918.01   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J7M51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133485 | PA      | $126443.68    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    965000 | PA      | $863851.88    | 0.02%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236130 | PA      | $239032.03    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                   | Port Authority of New York & New Jersey                                          | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    185000 | PA      | $193381.67    | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1900000 | PA      | $-1727163.67  | -0.04%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55866 | PA      | $44939.47     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                  | Cigna Group/The                                                                  | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $1773000.79   | 0.04%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                            | Accenture Capital Inc                                                            | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    460000 | PA      | $447502.73    | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18301 | PA      | $16413.24     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association            | USD/SGD FORWARD                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-18412.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    285000 | PA      | $287251.81    | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                         | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    115000 | PA      | $109570.60    | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                              | Otis Worldwide Corp                                                              | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   1632000 | PA      | $1505246.37   | 0.04%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CGI INC                                          | CGI Inc                                                                          | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $965413.30    | 0.02%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865792 | PA      | $694269.81    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                                              | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3505000 | PA      | $1456087.01   | 0.04%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11123000 | PA      | $9769315.80   | 0.24%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                        | DLLMT 2024-1 LLC                                                                 | CUSIP: 23347AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $417540.15    | 0.01%             | 2032-04-20      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2025-1                                         | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3457518.82   | 0.09%             | 2030-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25564 | PA      | $23790.18     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2516471 | PA      | $1895389.65   | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VILLA BELLA 4.45 02AUG32                         | VILLA BELLA 4.45 02AUG32                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2390719.20   | 0.06%             | 2032-08-02      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                         | Rogers Communications Inc                                                        | CUSIP: 775109CK5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $973251.36    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                    | OFSI BSL XI Ltd                                                                  | CUSIP: 67115PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5028883.00   | 0.12%             | 2035-10-18      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9005000 | PA      | $7649201.62   | 0.19%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-HQA3                                          | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $810843.75    | 0.02%             | 2042-08-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    350000 | PA      | $231673.49    | 0.01%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                         | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co    | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1498129.26   | 0.04%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    985000 | PA      | $844487.66    | 0.02%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -151 | NC      | $-828321.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524471 | PA      | $530986.34    | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8249878 | PA      | $7906787.77   | 0.20%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAMELOT RETURN MERGER SU                         | Camelot Return Merger Sub Inc                                                    | CUSIP: 13323NAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $391978.65    | 0.01%             | 2028-08-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 3622ABRP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3511526 | PA      | $3286094.26   | 0.08%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shamrock Residential                             | Shamrock Residential                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    274579 | PA      | $323381.76    | 0.01%             | 2071-06-24      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                 | Greywolf CLO II Ltd                                                              | CUSIP: 398079AW3<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   2083000 | PA      | $2086688.99   | 0.05%             | 2034-04-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    315000 | PA      | $311748.65    | 0.01%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                  | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4928692 | PA      | $2860566.34   | 0.07%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                         | Constellation Energy Generation LLC                                              | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    397000 | PA      | $419943.79    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM Trust 2024-R1                                                                | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1289404 | PA      | $1278772.92   | 0.03%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YD3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43892 | PA      | $39587.55     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                   | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4426000 | PA      | $4415857.96   | 0.11%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/THB FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $26.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716535 | PA      | $674283.62    | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                    | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    399000 | PA      | $369991.31    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TFS_18-3                                         | TFS_18-3                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | N/A       |         1 | PA      | $1.18         | 0.00%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45145 | PA      | $41499.42     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                 | ABN AMRO Bank NV                                                                 | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $915635.25    | 0.02%             | 2035-12-03      | Fixed         | 5.51%                 | No            |                  2 | On Loan: —       |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    322000 | PA      | $317497.22    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1689876 | PA      | $1542528.01   | 0.04%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                    | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    458000 | PA      | $402337.02    | 0.01%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4810000 | PA      | $4380238.04   | 0.11%             | 2046-07-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK TRANSPRTN DEV CORP LE                   | New York Transportation Development Corp                                         | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2325000 | PA      | $2278174.68   | 0.06%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5061851 | PA      | $4035076.49   | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBH8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    865000 | PA      | $828605.94    | 0.02%             | 2063-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296000 | PA      | $1212601.49   | 0.03%             | 2052-08-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU                   | New Jersey Turnpike Authority                                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    366000 | PA      | $418749.21    | 0.01%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                     | Centene Corp                                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $990903.42    | 0.02%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CLAIRE'S STORES INC CNV PFD                      | CLAIRE'S STORES INC CNV PFD                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       864 | NS      | $0.09         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38382KVL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2150804 | PA      | $350873.86    | 0.01%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                     | Novelis Corp                                                                     | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    610000 | PA      | $630725.20    | 0.02%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| RGA GLOBAL FUNDING                               | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    950000 | PA      | $980837.80    | 0.02%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GTZ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28542 | PA      | $27566.17     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                        | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162171.54    | 0.00%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS KRW PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    553000 | NC      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20115389 | PA      | $17805337.37  | 0.44%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3362324 | PA      | $2917498.03   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GF4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    270000 | PA      | $281014.47    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133A94W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6374339 | PA      | $5329602.43   | 0.13%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    715000 | PA      | $714507.29    | 0.02%             | 2027-11-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    635000 | PA      | $663721.44    | 0.02%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16730000 | PA      | $17563885.94  | 0.43%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                   | NCR Atleos Corp                                                                  | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    400000 | PA      | $437837.65    | 0.01%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411GMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624805 | PA      | $654989.81    | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    850000 | PA      | $859382.81    | 0.02%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312936ND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5534 | PA      | $5691.43      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                         | USD CALL VERSUS COP PUT                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |    551000 | NC      | $0.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1725000 | PA      | $1751320.91   | 0.04%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NEH0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2785000 | PA      | $2874641.69   | 0.07%             | 2029-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36177U3H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44048 | PA      | $41130.68     | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    850000 | PA      | $927954.86    | 0.02%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140W0AW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2872503 | PA      | $2925768.56   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                             | Parker-Hannifin Corp                                                             | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    400000 | PA      | $344307.63    | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3790000 | PA      | $3770457.81   | 0.09%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                   | MF1 2021-FL6 Ltd                                                                 | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    305745 | PA      | $305352.05    | 0.01%             | 2036-07-16      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KXEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       140 | PA      | $143.83       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    200000 | PA      | $223501.88    | 0.01%             | 2026-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    525000 | PA      | $559160.98    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRI POINTE HOMES INC                             | Tri Pointe Homes Inc                                                             | CUSIP: 87265HAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    307000 | PA      | $307887.09    | 0.01%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38379AYP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1972135 | PA      | $274603.42    | 0.01%             | 2044-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31409WA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2416 | PA      | $2503.06      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31408CA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3685 | PA      | $3781.81      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36182CR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21824 | PA      | $20343.97     | 0.00%             | 2044-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552867 | PA      | $458920.48    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2022-BNK40                                                                  | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $422615.29    | 0.01%             | 2064-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                            | Northrop Grumman Corp                                                            | CUSIP: 666807CN0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    445000 | PA      | $449031.67    | 0.01%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                           | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    660000 | PA      | $667127.44    | 0.02%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19783 | PA      | $20740.44     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                          | Duke Energy Florida LLC                                                          | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    420000 | PA      | $370820.06    | 0.01%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3325815 | PA      | $491464.28    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    535000 | PA      | $548261.06    | 0.01%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15375000.00  | 0.38%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                                              | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    425000 | PA      | $434361.60    | 0.01%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140N0RZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2707539 | PA      | $2661889.09   | 0.07%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1825000 | PA      | $1806512.75   | 0.04%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                   | SoFi Professional Loan Program 2020-ATrust                                       | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1067876 | PA      | $1027224.11   | 0.03%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                   | Port Authority of New York & New Jersey                                          | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    400000 | PA      | $333111.05    | 0.01%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                     | New Gold Inc                                                                     | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $97598.25     | 0.00%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581234 | PA      | $505513.73    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                   | PECO Energy Co                                                                   | CUSIP: 693304AV9<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    136000 | PA      | $103122.79    | 0.00%             | 2047-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card                    | Mercury Financial Credit Card Master Trust                                       | CUSIP: 58940BBB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2514480.00   | 0.06%             | 2029-07-20      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| DIGICEL INTL FIN LTD                             | DIGICEL INTL FIN LTD                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12039 | NS      | $141619.57    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MAT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930826 | PA      | $891984.44    | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1665051 | PA      | $1356337.24   | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust                    | EquiFirst Mortgage Loan Trust 2004-1                                             | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278872 | PA      | $272446.87    | 0.01%             | 2034-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                    | Boeing Co/The                                                                    | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    345000 | PA      | $375174.80    | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1551000 | PA      | $1285229.77   | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                          | CF Hippolyta Issuer LLC                                                          | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391116 | PA      | $376301.68    | 0.01%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                         | Ascent Resources Utica Holdings LLC / ARU Finance Corp                           | CUSIP: 04364VAX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $915661.62    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782602 | PA      | $1463581.08   | 0.04%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                    | Retained Vantage Data Centers Issuer LLC                                         | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3371376.42   | 0.08%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                 | Alabama Power Co                                                                 | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201603.98    | 0.00%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                            | Northrop Grumman Corp                                                            | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    390000 | PA      | $381385.00    | 0.01%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137H2T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1867341 | PA      | $323800.66    | 0.01%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $12997025.86  | 0.32%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                      | Southern Co/The                                                                  | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2182455.97   | 0.05%             | 2027-08-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358465 | PA      | $314804.07    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $1047763.08   | 0.03%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138043 | PA      | $123388.24    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                             | Keurig Dr Pepper Inc                                                             | CUSIP: 49271VBA7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    880000 | PA      | $884298.24    | 0.02%             | 2030-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                | L3Harris Technologies Inc                                                        | CUSIP: 502431AU3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1021904.03   | 0.03%             | 2034-06-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    530000 | PA      | $527581.40    | 0.01%             | 2028-08-14      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1238873 | PA      | $985733.44    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HERITAGE PWR LLC                                 | HERITAGE PWR LLC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26092 | NS      | $13046.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                       | USD/BRL FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12244.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                            | Bank of Ireland Group PLC                                                        | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   2500000 | PA      | $2576882.75   | 0.06%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin                   | Santander Bank Auto Credit-Linked Notes Series 2023-B                            | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211064 | PA      | $212936.14    | 0.01%             | 2033-12-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1281272.54   | 0.03%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                         | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103000 | PA      | $99633.15     | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1041816 | PA      | $961916.25    | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1005000 | PA      | $1044246.15   | 0.03%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                 | Paramount Global                                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    818000 | PA      | $602369.61    | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2016-COR1 Mortgage Trust                                                    | CUSIP: 12594MBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430281 | PA      | $2388464.43   | 0.06%             | 2049-10-10      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR3                                                   | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3773555 | PA      | $3718598.65   | 0.09%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                       | DaVita Inc                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1475806.77   | 0.04%             | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                         | OBX 2025-NQM11 TRUST                                                             | CUSIP: 67449BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1602003.20   | 0.04%             | 2065-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82232 | PA      | $77306.63     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                   | USD CALL VERSUS ZAR PUT                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |    276000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                              | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2820000 | PA      | $2918276.15   | 0.07%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                               | RGA Global Funding                                                               | CUSIP: 76209PAG8<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1784224.25   | 0.04%             | 2030-01-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2023-BNK46                                                                  | CUSIP: 06541DCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9302757 | PA      | $333425.70    | 0.01%             | 2056-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                | Imperial Fund Mortgage Trust 2021-NQM1                                           | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1221509 | PA      | $1062686.60   | 0.03%             | 2056-06-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59242 | PA      | $54789.49     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    296000 | PA      | $265043.52    | 0.01%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                               | Alcon Finance Corp                                                               | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    985000 | PA      | $927565.88    | 0.02%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PGIM Institutional Money Market Fund - D         | PGIM Institutional Money Market Fund - D                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  56643887 | NS      | $56604235.79  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31410Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $92.37        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108368 | PA      | $102643.88    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                 | Georgia Power Co                                                                 | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    520000 | PA      | $527335.74    | 0.01%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310350 | PA      | $296977.24    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15921 | PA      | $16311.84     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec                   | American Credit Acceptance Receivables Trust 2025-2                              | CUSIP: 024938AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1913596.59   | 0.05%             | 2031-03-12      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    796000 | PA      | $639238.55    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632448 | PA      | $531319.00    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1363000 | PA      | $1397653.70   | 0.03%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                        | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $86305.24     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    438000 | PA      | $469449.45    | 0.01%             | 2034-09-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69459 | PA      | $68100.74     | 0.00%             | 2057-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    734000 | PA      | $527495.47    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                           | Arizona Public Service Co                                                        | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    350000 | PA      | $377521.36    | 0.01%             | 2032-12-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                  | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118185.18    | 0.00%             | 2043-12-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                     | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    350000 | PA      | $343437.50    | 0.01%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    365000 | PA      | $332773.26    | 0.01%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                     | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $1413302.19   | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2255268 | PA      | $2053292.31   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6KC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88935 | PA      | $93229.32     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3818478 | PA      | $3812641.97   | 0.09%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36290TK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12293 | PA      | $11474.93     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WUAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706373 | PA      | $662205.10    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                         | Interstate Power and Light Co                                                    | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    930000 | PA      | $955928.13    | 0.02%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                              | NCL Corp Ltd                                                                     | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    484000 | PA      | $484605.00    | 0.01%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                    | New Residential Mortgage Loan Trust 2017-4                                       | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498168 | PA      | $1438283.06   | 0.04%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19779 | PA      | $19685.26     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1172290.64   | 0.03%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012004 | PA      | $811162.64    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411BCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196 | PA      | $204.18       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670743 | PA      | $539458.43    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORAN FOODS LLC                                  | MORAN FOODS LLC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    363654 | PA      | $82331.28     | 0.00%             | 2026-12-31      | Floating      | 9.59%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5207 | PA      | $5464.53      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                            | Republic Services Inc                                                            | CUSIP: 760759AX8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $447943.14    | 0.01%             | 2031-02-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION        | SWOP CDS CDX.NA.IG.44.V1                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        | -12740000 | OU      | $-19931.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                            | Brooklyn Union Gas Co/The                                                        | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1765386.52   | 0.04%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6970000 | PA      | $6670694.12   | 0.16%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608312 | PA      | $509564.14    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                          | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    585000 | PA      | $642162.69    | 0.02%             | 2034-10-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3163843 | PA      | $2800082.26   | 0.07%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31412LA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2426 | PA      | $2543.10      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2022-BNK39                                                                  | CUSIP: 06539VAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20255327 | PA      | $472485.88    | 0.01%             | 2055-02-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                         | United Airlines 2018-1 Class AA Pass Through Trust                               | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    108166 | PA      | $101905.24    | 0.00%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                         | Public Service Enterprise Group Inc                                              | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1842608.92   | 0.05%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| CARVANA CO                                       | Carvana Co                                                                       | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    800000 | PA      | $841299.88    | 0.02%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                 | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2110000 | PA      | $2113461.72   | 0.05%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    754000 | PA      | $714436.07    | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2019-K88 Mortgage Trust                                                    | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1979925.40   | 0.05%             | 2052-02-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                 | Paramount Global                                                                 | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    285000 | PA      | $217811.03    | 0.01%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| STATE OF MINAS GERAIS                            | Brazil Minas SPE via State of Minas Gerais                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     88500 | PA      | $87693.77     | 0.00%             | 2028-02-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Freddie Mac Strips                                                               | CUSIP: 3133Q5AA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3270803 | PA      | $517503.07    | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                              | CommonSpirit Health                                                              | CUSIP: 20268JAR4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    275000 | PA      | $282169.37    | 0.01%             | 2031-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340099 | PA      | $333450.65    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1953078.66   | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RITE AID CORP                                    | Rite Aid Corp                                                                    | CUSIP: 767754CS1<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |    183119 | PA      | $0.18         | 0.00%             | 2031-08-30      | Variable      | 15.00%                | No            |                  3 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                         | CUSIP: 38383R3S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416919 | PA      | $9767.41      | 0.00%             | 2052-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EHAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7545 | PA      | $7762.98      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    511000 | PA      | $360287.04    | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1767890.78   | 0.04%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LUFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357550 | PA      | $1185424.97   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JBZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9950179 | PA      | $8582826.38   | 0.21%             | 2034-04-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                                                | CUSIP: 36241KWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3883 | PA      | $3934.29      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                   | Bombardier Inc                                                                   | CUSIP: 097751CC3<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $156328.50    | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                         | Equitable Financial Life Global Funding                                          | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1042532.05   | 0.03%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M3HH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166790 | PA      | $166049.85    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312939WJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4180 | PA      | $4324.14      | 0.00%             | 2040-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK23                                                                  | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1854801 | PA      | $1790922.55   | 0.04%             | 2052-12-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1346557.32   | 0.03%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                    | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    470000 | PA      | $404356.74    | 0.01%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704195 | PA      | $661177.89    | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                          | Hungary Government International Bond                                            | CUSIP: 445545AU0<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   1280000 | PA      | $1231065.60   | 0.03%             | 2036-03-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                       | Biogen Inc                                                                       | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1464968.51   | 0.04%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3946 | PA      | $4052.75      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510960 | PA      | $492068.63    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2409484.73   | 0.06%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34691 | PA      | $32291.49     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 3618NJCV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1903709 | PA      | $1974247.63   | 0.05%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138697 | PA      | $1172602.41   | 0.03%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                   | BRAVO Residential Funding Trust 2024-CES1                                        | CUSIP: 10570NAA6<br>LEI: 254900UJENIYH5UEYD42 | Long             | ABS-MBS          | CORP              | US        |    754242 | PA      | $761502.39    | 0.02%             | 2054-04-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                     | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1765000 | PA      | $1723081.25   | 0.04%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | USD/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-14001.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655611 | PA      | $672376.87    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                               | Steel Dynamics Inc                                                               | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    800000 | PA      | $526569.23    | 0.01%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                     | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1850000 | PA      | $1898602.28   | 0.05%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XURG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72599 | PA      | $70372.01     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                              | DT Auto Owner Trust 2023-2                                                       | CUSIP: 23346CAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495596 | PA      | $496033.16    | 0.01%             | 2029-02-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    170000 | PA      | $171558.44    | 0.00%             | 2032-04-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86523 | PA      | $77756.91     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK & TR                           | State Street Bank & Trust Co                                                     | CUSIP: 857449AE2<br>LEI: 571474TGEMMWANRLN572 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1776228.95   | 0.04%             | 2029-11-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $849137.44    | 0.02%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235122 | PA      | $1169443.34   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                | CUSIP: 3136BDEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3244684 | PA      | $406696.82    | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                          | Transcontinental Gas Pipe Line Co LLC                                            | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $409484.55    | 0.01%             | 2050-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan                   | Laurel Road Prime Student Loan Trust 2018-C                                      | CUSIP: 51888JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047434 | PA      | $1009333.33   | 0.02%             | 2043-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                               | Mattamy Group Corp                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |    372000 | PA      | $357585.00    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                     | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1460000 | PA      | $1524543.83   | 0.04%             | 2035-06-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                                          | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $1249838.90   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BEWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4744584 | PA      | $294063.15    | 0.01%             | 2032-02-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $737943.61    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335AEQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5495026 | PA      | $5128754.86   | 0.13%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                          | Eni SpA                                                                          | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   1120000 | PA      | $1142644.50   | 0.03%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| STATE STREET CORP                                | State Street Corp                                                                | CUSIP: 857477BS1<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2095000 | PA      | $2030011.68   | 0.05%             | 2028-02-07      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                           | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2865000 | PA      | $2886172.35   | 0.07%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                   | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    313000 | PA      | $188088.32    | 0.00%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31411EYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6916 | PA      | $7137.98      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5809553 | PA      | $4894520.01   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265113 | PA      | $246231.99    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                          | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1446678.26   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                               | Tricon Residential 2022-SFR1 Trust                                               | CUSIP: 89616QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5076063 | PA      | $5004602.76   | 0.12%             | 2039-04-17      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                         | Bacardi Ltd / Bacardi-Martini BV                                                 | CUSIP: 05635JAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    190000 | PA      | $192569.50    | 0.00%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219068 | PA      | $164912.66    | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    740000 | PA      | $743205.92    | 0.02%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XHA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53952 | PA      | $53030.80     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                              | Petroleos Mexicanos                                                              | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1215000 | PA      | $1189351.35   | 0.03%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7795916.40   | 0.19%             | 2031-11-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                   | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2200000 | PA      | $1953641.80   | 0.05%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X4NL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204097 | PA      | $205031.00    | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                         | Regeneron Pharmaceuticals Inc                                                    | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1129224.60   | 0.03%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2020-2                                          | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934000 | PA      | $2860525.31   | 0.07%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                          | Nationwide Building Society                                                      | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $871536.68    | 0.02%             | 2030-07-18      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                    | State of California                                                              | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    770000 | PA      | $890409.90    | 0.02%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157708 | PA      | $157628.75    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                   | OneMain Direct Auto Receivables Trust 2023-1                                     | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4137907.37   | 0.10%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                          | Tennessee Valley Authority Generic Strip                                         | CUSIP: 88059EPB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     75000 | PA      | $48618.84     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    910000 | PA      | $927986.66    | 0.02%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                  | Yamana Gold Inc                                                                  | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |     93000 | PA      | $92506.62     | 0.00%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                         | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    640000 | PA      | $631331.39    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                   | Bear Stearns Asset Backed Securities Trust 2003-2                                | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56823 | PA      | $56916.23     | 0.00%             | 2043-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                               | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1009414 | PA      | $985629.79    | 0.02%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                     | AES Corp/The                                                                     | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1025470.66   | 0.03%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 A PASS T                         | American Airlines 2015-2 Class A Pass Through Trust                              | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1720853 | PA      | $1655850.62   | 0.04%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| CONOCOPHILLIPS COMPANY                           | ConocoPhillips Co                                                                | CUSIP: 20826FBJ4<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   2190000 | PA      | $2220398.54   | 0.05%             | 2030-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                          | Inter-American Development Bank                                                  | CUSIP: 458182BW1<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       |    417000 | PA      | $418355.83    | 0.01%             | 2025-10-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 30Y UMBS TBA 5.5                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        75 | NC      | $41225.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5HC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4222 | PA      | $4430.41      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465115 | PA      | $452785.19    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40641 | PA      | $38772.75     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                                               | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007157 | PA      | $949374.41    | 0.02%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                        | CIM TRUST 2022-R3                                                                | CUSIP: 12569DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3245094 | PA      | $3183318.23   | 0.08%             | 2062-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       502 | PA      | $525.01       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151326 | PA      | $120554.11    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1184000 | PA      | $1166679.16   | 0.03%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2500000 | PA      | $2663887.25   | 0.07%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NWPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4192145 | PA      | $4150032.55   | 0.10%             | 2034-11-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                      | Aker BP ASA                                                                      | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   1175000 | PA      | $1070822.27   | 0.03%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** Advanced Series Trust

**Signature:** Christian J. Kelly

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

**Title:** Chief Financial Officer