# EDGAR Filing Document

**Accession Number:** 0000002646
**File Stem:** 0001752724-23-036348
**Filing Date:** 2023-2
**Character Count:** 850403
**Document Hash:** 778edaa686c5f621633b49dc0a97f42f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-036348.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-036348

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya INTERMEDIATE BOND PORTFOLIO
- **CENTRAL INDEX KEY:** 0000002646
- **IRS NUMBER:** 060891902
- **STATE OF INCORPORATION:** CT
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02361
- **FILM NUMBER:** 23657997

**BUSINESS ADDRESS:**
- **STREET 1:** ING FUNDS SERVICES
- **STREET 2:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 480-477-3000

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING INTERMEDIATE BOND PORTFOLIO
- **DATE OF NAME CHANGE:** 20090508

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING VP INTERMEDIATE BOND PORTFOLIO
- **DATE OF NAME CHANGE:** 20041124

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING VP BOND PORTFOLIO
- **DATE OF NAME CHANGE:** 20020501

## Series and Classes Contracts Data

### Voya Intermediate Bond Portfolio (Series ID: S000008760)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023849 | Class ADV    | IIBPX           |
| C000028784 | Class I      | IPIIX           |
| C000028785 | Class S      | IPISX           |
| C000074893 | Class S2     | IIBTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Intermediate Bond Portfolio

- **b. Investment Company Act file number:** 811-02361

- **c. CIK number of Registrant:** 0000002646

- **d. LEI of Registrant:** GP0L16R6Y5YV83C5QZ60

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA INTERMEDIATE BOND PORTFOLIO

- **b. EDGAR series identifier (if any):** S000008760

- **c. LEI of Series:** GP0L16R6Y5YV83C5QZ60

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

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

- **b. Date as of which information is reported:** 2022-12-30

**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:** $2979011467.66

**Total Liabilities:** $565397786.69

**Net Assets:** $2413613680.97

**Delayed Delivery Securities:** $903349.45

**Stand-by Commitments:** $306433312.95

**Cash Not Reported:** $30867885.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 208726.00000000 | **1-Year:** 17491.00000000 | **5-Year:** 103244.00000000 | **10-Year:** 344958.00000000 | **30-Year:** 582762.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** -3147.00000000 | **5-Year:** -2010.00000000 | **10-Year:** 74665.00000000 | **30-Year:** 40438.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028784 | -1.55%               | 3.72%                | -0.34%               |
| Class ID C000023849 | -1.52%               | 3.62%                | -0.39%               |
| Class ID C000028785 | -1.49%               | 3.72%                | -0.37%               |
| Class ID C000074893 | -1.51%               | 3.63%                | -0.38%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-21598152.68            | $-18335664.43                              |
| Month 2  | $-21729545.89            | $108756989.91                              |
| Month 3  | $10453644.48             | $-28323858.17                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ALTRIA GROUP INC                                               | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     301000 | PA      | $289446.38    | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406L3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59585 | PA      | $58505.50     | 0.00%             | 2035-10-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WDZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4056010 | PA      | $3965332.60   | 0.16%             | 2045-01-01      | 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      | $-256306.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416JFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $116.00       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3545778 | PA      | $3081651.61   | 0.13%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                               | Symphony CLO XXV Ltd                                                            | CUSIP: 87167WAG0<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |    8200000 | PA      | $7710935.60   | 0.32%             | 2034-04-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138XB5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146471 | PA      | $140145.30    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                     | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     638000 | PA      | $396125.32    | 0.02%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AAWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56137 | PA      | $55703.43     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                         | Aviation Capital Group LLC                                                      | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     789000 | PA      | $669379.69    | 0.03%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31397QPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545313 | PA      | $542736.82    | 0.02%             | 2041-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1619990 | PA      | $1595950.89   | 0.07%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                               | Berry Global Inc                                                                | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1201000 | PA      | $1138351.95   | 0.05%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ELM75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16649 | PA      | $16472.08     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                                                      | Mosaic Co/The                                                                   | CUSIP: 61945CAD5<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |    1366000 | PA      | $1332855.64   | 0.06%             | 2033-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416PF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80363 | PA      | $79710.29     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411DY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3669 | PA      | $3734.64      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163348 | PA      | $162084.70    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371FW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1784 | PA      | $1830.23      | 0.00%             | 2027-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31375JFS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3864 | PA      | $3878.85      | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                              | Sonic Capital LLC                                                               | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1513833 | PA      | $1349288.15   | 0.06%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31393KBY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63999 | PA      | $65070.97     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412WKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7500 | PA      | $7643.68      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413BTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15631 | PA      | $16073.16     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $359656.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QPTX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     820550 | PA      | $763841.33    | 0.03%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36212URW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12710 | PA      | $12821.77     | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                        | Marathon Petroleum Corp                                                         | CUSIP: 56585AAJ1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     543000 | PA      | $455933.46    | 0.02%             | 2054-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EHDC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475269 | PA      | $471592.89    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31404VFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2837 | PA      | $2885.89      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                            | Global Payments Inc                                                             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $872757.65    | 0.04%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25214455 | PA      | $21872193.84  | 0.91%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128L14P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5360 | PA      | $5569.21      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31405RDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131659 | PA      | $133002.12    | 0.01%             | 2034-09-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ABBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305643 | PA      | $305220.29    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                         | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     298000 | PA      | $186816.74    | 0.01%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140J9N23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204446 | PA      | $204149.81    | 0.01%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136BDMF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10226361 | PA      | $1147488.72   | 0.05%             | 2050-07-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409YBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12318 | PA      | $12621.46     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50713400 | PA      | $50428137.13  | 2.09%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418WJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58401 | PA      | $57274.40     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                    | Southern Co/The                                                                 | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     780000 | PA      | $778414.38    | 0.03%             | 2027-08-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410WS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4862 | PA      | $5081.32      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2BX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18159 | PA      | $17966.67     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7686 | PA      | $8026.59      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B1EY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3854745 | PA      | $3623478.31   | 0.15%             | 2047-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023CB9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     120000 | PA      | $82899.75     | 0.00%             | 2048-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-35412.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295MZJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4075.27      | 0.00%             | 2031-11-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18258 | PA      | $18169.55     | 0.00%             | 2026-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                 | WFRBS Commercial Mortgage Trust 2013-C11                                        | CUSIP: 92937EAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9020000 | PA      | $7289905.37   | 0.30%             | 2045-03-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140HFJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403800 | PA      | $385777.46    | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                                            | BMD2 Re-Remic Trust 2019-FRR1                                                   | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3537000 | PA      | $2165103.81   | 0.09%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AHXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11164 | PA      | $11077.99     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                              | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     786000 | PA      | $720362.25    | 0.03%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WE4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914168 | PA      | $858185.20    | 0.04%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AEU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4581040 | PA      | $326895.21    | 0.01%             | 2033-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403U7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29410 | PA      | $30379.64     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858262 | PA      | $887258.11    | 0.04%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                             | Athene Holding Ltd                                                              | CUSIP: 04686JAF8<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |     445000 | PA      | $441381.80    | 0.02%             | 2033-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                   | Entergy Corp                                                                    | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    1626000 | PA      | $1449546.50   | 0.06%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                                  | Thornburg Mortgage Securities Trust 2006-5                                      | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136969 | PA      | $127662.96    | 0.01%             | 2046-10-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                        | MPLX LP                                                                         | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     504000 | PA      | $431045.79    | 0.02%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     304000 | PA      | $286051.79    | 0.01%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                           | Prime Mortgage Trust 2007-1                                                     | CUSIP: 74162FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363294 | PA      | $299516.26    | 0.01%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419DP70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12985 | PA      | $12884.77     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                       | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAD2<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     363000 | PA      | $267552.00    | 0.01%             | 2032-01-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                       | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     503000 | PA      | $414133.85    | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402QSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        604 | PA      | $624.73       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                                        | Alaska Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      48064 | PA      | $45831.14     | 0.00%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398RNT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3620693 | PA      | $3580500.69   | 0.15%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBB9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     405000 | PA      | $339095.21    | 0.01%             | 2031-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                         | Mosaic Solar Loans 2017-2 LLC                                                   | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1567032 | PA      | $1454267.55   | 0.06%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6017118 | PA      | $5136694.98   | 0.21%             | 2050-07-01      | 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        |      17000 | PA      | $9155.10      | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                       | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1779000 | PA      | $1742662.09   | 0.07%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417VRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3388 | PA      | $3347.40      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                            | American International Group Inc                                                | CUSIP: 026874DH7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     230000 | PA      | $223070.78    | 0.01%             | 2026-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     814000 | PA      | $760591.70    | 0.03%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78532 | PA      | $81595.72     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137B5KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10700000 | PA      | $113760.26    | 0.00%             | 2041-12-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31400TYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15915 | PA      | $15988.81     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2022-R08                                    | CUSIP: 20755DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1011524.70   | 0.04%             | 2042-07-25      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BAPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8303311 | PA      | $7890954.04   | 0.33%             | 2044-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AUUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6590596 | PA      | $511082.95    | 0.02%             | 2046-12-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140E64L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1950453 | PA      | $1813885.99   | 0.08%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WHSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3084970 | PA      | $2768305.68   | 0.11%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM Re-REMIC Trust 2021-FRR1                                                    | CUSIP: 364614AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6158000 | PA      | $4047201.40   | 0.17%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Broad River BSL Funding CLO Lt                                 | Broad River Bsl Funding Clo Ltd 2020-1                                          | CUSIP: 11124TAJ3<br>LEI: 5493000KEEYM16WOW109 | Long             | ABS-CBDO         | CORP              | KY        |    3490000 | PA      | $3384895.16   | 0.14%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust  | CUSIP: 93935YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1219343 | PA      | $607979.61    | 0.03%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   19473000 | NC      | $-93928.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411LXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13716 | PA      | $14205.00     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | 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        |     512705 | PA      | $477100.43    | 0.02%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WHC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2853648 | PA      | $473288.57    | 0.02%             | 2044-02-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415Y4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17532 | PA      | $18271.45     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                         | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    1030000 | PA      | $940332.96    | 0.04%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31404BM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66772 | PA      | $68887.45     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                       | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     207000 | PA      | $190074.32    | 0.01%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140HGR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89884 | PA      | $85787.78     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WGLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3039149 | PA      | $2913874.93   | 0.12%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                 | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     405000 | PA      | $272577.16    | 0.01%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                 | Home Depot Inc/The                                                              | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1110844.83   | 0.05%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 6174468J1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     499000 | PA      | $477349.67    | 0.02%             | 2025-07-22      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416H5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15587 | PA      | $15433.18     | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138YVZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707776 | PA      | $683271.53    | 0.03%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                                  | Life 2021-BMR Mortgage Trust                                                    | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688079 | PA      | $651139.72    | 0.03%             | 2038-03-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412WEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12885 | PA      | $13093.07     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3973083 | PA      | $3261869.42   | 0.14%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18091 | PA      | $18468.03     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                         | BP Capital Markets America Inc                                                  | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     366000 | PA      | $292616.81    | 0.01%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                       | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     453000 | PA      | $329187.34    | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136ABQK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4908209 | PA      | $556033.11    | 0.02%             | 2043-02-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                             | Meta Platforms Inc                                                              | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     485000 | PA      | $452839.46    | 0.02%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AFT34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6136 | PA      | $6088.23      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25316 | PA      | $24990.87     | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398NE59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2629268 | PA      | $564048.13    | 0.02%             | 2040-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                            | Dow Chemical Co/The                                                             | CUSIP: 260543DG5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     342000 | PA      | $360891.11    | 0.01%             | 2033-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38376TZ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276437 | PA      | $38084.80     | 0.00%             | 2039-01-16      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140KSTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6565563 | PA      | $5378132.77   | 0.22%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419KPA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280473 | PA      | $273872.71    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407JED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $77.89        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GUJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66461 | PA      | $65034.29     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                         | Pacific Gas and Electric Co                                                     | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     583000 | PA      | $436043.10    | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138MC7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6437 | PA      | $6239.72      | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFYY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311648 | PA      | $309585.81    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396PCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375624 | PA      | $134242.04    | 0.01%             | 2037-01-25      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                             | Vodafone Group PLC                                                              | CUSIP: 92857WBD1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     286000 | PA      | $230140.58    | 0.01%             | 2043-02-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                                  | Citicorp Mortgage Securities Trust Series 2007-1                                | CUSIP: 173105AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498186 | PA      | $416447.79    | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136BCBZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12078776 | PA      | $1945397.97   | 0.08%             | 2050-10-25      | Fixed         | 3.00%                 | 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        |       9287 | PA      | $8308.62      | 0.00%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                      | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -25247000 | NC      | $-308008.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     444000 | PA      | $395137.60    | 0.02%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407HKP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30042 | PA      | $30814.55     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413A6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10592 | PA      | $10763.38     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410EA57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118916 | PA      | $121218.52    | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412YFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51134 | PA      | $52819.38     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                              | CI Financial Corp                                                               | CUSIP: 125491AP5<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     561000 | PA      | $332435.44    | 0.01%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                                       | Main Street Capital Corp                                                        | CUSIP: 56035LAE4<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |    2640000 | PA      | $2278241.33   | 0.09%             | 2026-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1821000 | PA      | $1670012.42   | 0.07%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180421 | PA      | $188592.79    | 0.01%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust  | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138966 | PA      | $128695.00    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31307M4H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     597433 | PA      | $560218.38    | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                                 | AMMC CLO 16 Ltd                                                                 | CUSIP: 00176JAX4<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $634109.45    | 0.03%             | 2029-04-14      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BAEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246824 | PA      | $7058.05      | 0.00%             | 2042-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                 | Morgan Stanley Mortgage Loan Trust 2005-5AR                                     | CUSIP: 61748HLP4<br>LEI: 549300AT2084FJB5UN46 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1906637.40   | 0.08%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17041 | PA      | $17458.60     | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                | Fannie Mae Interest Strip                                                       | CUSIP: 31395QJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230739 | PA      | $36267.30     | 0.00%             | 2043-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6956563 | PA      | $658008.11    | 0.03%             | 2031-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     998000 | PA      | $740476.54    | 0.03%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419ATE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38279 | PA      | $37983.21     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1011000 | PA      | $743242.72    | 0.03%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FMKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17283678 | PA      | $1454217.53   | 0.06%             | 2049-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414PU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16296 | PA      | $16947.76     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                         | CHL Mortgage Pass-Through Trust 2005-2                                          | CUSIP: 12669GPT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12274 | PA      | $10717.82     | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $184199.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                             | HERO Funding Trust 2015-2                                                       | CUSIP: 42770UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     935122 | PA      | $886606.35    | 0.04%             | 2040-09-20      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                       | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432MT9<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    1507000 | PA      | $1397818.06   | 0.06%             | 2043-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CNTY CA PUBLIC WKS                                 | Los Angeles County Public Works Financing Authority                             | CUSIP: 54473ENT7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $227052.04    | 0.01%             | 2033-08-01      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                       | Corebridge Financial Inc                                                        | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    2333000 | PA      | $2166635.03   | 0.09%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $110639.36    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381485 | PA      | $368959.70    | 0.02%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38379BCY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4280798 | PA      | $296181.15    | 0.01%             | 2039-12-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                   | UBS Group AG                                                                    | CUSIP: 902613AL2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     812000 | PA      | $560695.74    | 0.02%             | 2043-02-11      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A7FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17104 | PA      | $16922.79     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23999 | PA      | $24817.13     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VBE3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     770000 | PA      | $705548.57    | 0.03%             | 2041-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                               | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     419000 | PA      | $327139.33    | 0.01%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A62R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14522 | PA      | $14409.50     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        965 | PA      | $1000.82      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146859 | PA      | $145723.16    | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408DRS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76696 | PA      | $79429.78     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                       | International Business Machines Corp                                            | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     792000 | PA      | $724278.40    | 0.03%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                       | Baxter International Inc                                                        | CUSIP: 071813CP2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $982911.28    | 0.04%             | 2028-12-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                         | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     503000 | PA      | $440130.49    | 0.02%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413E2C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16764 | PA      | $17034.95     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YWA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58103 | PA      | $57653.75     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136ATWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6145598 | PA      | $711274.32    | 0.03%             | 2046-09-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2005-4                                                   | CUSIP: 81744FJG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12376 | PA      | $12173.00     | 0.00%             | 2035-04-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2660 | PA      | $2669.52      | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                     | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     346000 | PA      | $313574.17    | 0.01%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31389EZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7039 | PA      | $6868.62      | 0.00%             | 2032-04-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414BS50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $461.78       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1770 | PA      | $1737.86      | 0.00%             | 2036-05-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK (TORONTO)                                | TORONTO-DOMINION BANK (TORONTO)                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2440000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1263419 | PA      | $1099832.79   | 0.05%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412P4D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51361 | PA      | $51013.58     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVANGRID INC                                                   | Avangrid Inc                                                                    | CUSIP: 05351WAC7<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |     323000 | PA      | $308948.06    | 0.01%             | 2025-04-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2474738 | PA      | $2270727.06   | 0.09%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403RXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        940 | PA      | $969.86       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137A8HP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687419 | PA      | $645879.66    | 0.03%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413CNQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23620 | PA      | $24001.63     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRR Re-Remic Trust                                             | FRR Re-REMIC Trust 2018-C1                                                      | CUSIP: 30307WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $925420.70    | 0.04%             | 2050-02-27      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EG6F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48561 | PA      | $48232.72     | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     845000 | PA      | $720220.33    | 0.03%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416NHN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12560 | PA      | $12291.96     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1982000 | PA      | $1829359.46   | 0.08%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                             | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $936779.28    | 0.04%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                           | BlueMountain CLO XXVIII Ltd                                                     | CUSIP: 09630PAG8<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |    1450000 | PA      | $1346717.95   | 0.06%             | 2034-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137B4Q66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21577426 | PA      | $21082983.17  | 0.87%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                         | Mosaic Solar Loan Trust 2018-1                                                  | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1359600 | PA      | $1256535.43   | 0.05%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                       | CSX Corp                                                                        | CUSIP: 126408HL0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1429432.21   | 0.06%             | 2068-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AAV99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11260 | PA      | $10949.25     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411XMB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        728 | PA      | $741.84       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36297HMY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        389 | PA      | $391.68       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44235 | PA      | $44471.94     | 0.00%             | 2029-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410LC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64258 | PA      | $66694.57     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $369616.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                          | Norfolk Southern Corp                                                           | CUSIP: 655844CJ5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     387000 | PA      | $269540.32    | 0.01%             | 2121-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FDNH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1622208 | PA      | $1371173.68   | 0.06%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                       | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    3319000 | PA      | $3183709.76   | 0.13%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                                        | HomeBanc Mortgage Trust 2004-1                                                  | CUSIP: 43739EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110263 | PA      | $104364.32    | 0.00%             | 2029-08-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                 | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     496000 | PA      | $395707.99    | 0.02%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38376JFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5164573 | PA      | $466975.53    | 0.02%             | 2037-05-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                 | PECO Energy Co                                                                  | CUSIP: 693304AS6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     292000 | PA      | $249581.82    | 0.01%             | 2044-10-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407JZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11449 | PA      | $11297.75     | 0.00%             | 2035-08-01      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                        | Southwestern Electric Power Co                                                  | CUSIP: 845437BS0<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    1499000 | PA      | $1342379.37   | 0.06%             | 2026-03-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                               | California Street CLO IX LP                                                     | CUSIP: 13079WDG0<br>LEI: 5493001GRJRD2VIG9H40 | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1658123.25   | 0.07%             | 2032-07-16      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EBZN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33187 | PA      | $32598.32     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8250800 | PA      | $7086985.96   | 0.29%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     981000 | PA      | $803628.05    | 0.03%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2005-J3                                                  | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210906 | PA      | $7213.93      | 0.00%             | 2035-05-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| BETHESDA SECURITIES, LLC                                       | BETHESDA SECURITIES LLC                                                         | CUSIP: 000000000<br>LEI: 254900O3C3TARG6WQ048 | Long             | RA               | CORP              | US        |    3819059 | PA      | $3819059.00   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6703 | PA      | $6926.75      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CNTY CA PUBLIC WKS                                 | Los Angeles County Public Works Financing Authority                             | CUSIP: 54473ENS9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     300000 | PA      | $368962.62    | 0.02%             | 2040-08-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     405000 | PA      | $273901.96    | 0.01%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    2489000 | PA      | $2080266.38   | 0.09%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     390000 | PA      | $355221.86    | 0.01%             | 2032-08-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416VKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12089 | PA      | $12379.02     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575179 | PA      | $566829.32    | 0.02%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| HP INC                                                         | HP Inc                                                                          | CUSIP: 40434LAJ4<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1437870.78   | 0.06%             | 2031-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     900000 | PA      | $714628.73    | 0.03%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4119057 | PA      | $3682317.09   | 0.15%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2434262.76   | 0.10%             | 2040-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AMJR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1022836 | PA      | $1089837.02   | 0.05%             | 2042-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1023000 | PA      | $886981.43    | 0.04%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                                 | Bayview MSR Opportunity Master Fund Trust 2021-INV2                             | CUSIP: 07336NAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1382225 | PA      | $1266841.96   | 0.05%             | 2051-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                         | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -50495000 | NC      | $-2000450.11  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419JM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37530 | PA      | $37239.48     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138W93Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72366 | PA      | $69383.92     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1381722.64   | 0.06%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2022-R01                                    | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8096502.68   | 0.34%             | 2041-12-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                   | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     800000 | PA      | $700765.50    | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24384 | PA      | $25491.05     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411WVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8429 | PA      | $8748.00      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126873 | PA      | $125891.62    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                 | Carlyle Global Market Strategies CLO 2014-1 Ltd                                 | CUSIP: 14310MAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2284485.60   | 0.09%             | 2031-04-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WEJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5046845 | PA      | $4557454.87   | 0.19%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                   | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1474695 | PA      | $1298516.10   | 0.05%             | 2046-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295MNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48188 | PA      | $47365.43     | 0.00%             | 2029-01-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                              | Tampa Electric Co                                                               | CUSIP: 875127BC5<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     580000 | PA      | $483661.57    | 0.02%             | 2044-05-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                       | OHA Credit Funding 8 Ltd                                                        | CUSIP: 67707GAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1415581.50   | 0.06%             | 2034-01-18      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                             | Union Pacific Corp                                                              | CUSIP: 907818FZ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $899729.26    | 0.04%             | 2053-02-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377MY42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3397179 | PA      | $73480.30     | 0.00%             | 2040-05-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31404FWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8466 | PA      | $8676.39      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                       | Piedmont Operating Partnership LP                                               | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     295000 | PA      | $207204.40    | 0.01%             | 2032-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276201 | PA      | $285965.49    | 0.01%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                 | JPMBB Commercial Mortgage Securities Trust 2015-C28                             | CUSIP: 46644FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1893903 | PA      | $28501.63     | 0.00%             | 2048-10-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408AE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5305 | PA      | $5497.39      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WET82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003161 | PA      | $941637.84    | 0.04%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                       | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19386973 | PA      | $914866.40    | 0.04%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     632000 | PA      | $657490.21    | 0.03%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     798000 | PA      | $554296.95    | 0.02%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AMTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11745309 | PA      | $2444607.64   | 0.10%             | 2045-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296P6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8650 | PA      | $8772.14      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2020-8                                                 | CUSIP: 46652TCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1814100 | PA      | $1340734.64   | 0.06%             | 2051-03-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FUPF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5727546 | PA      | $1070850.65   | 0.04%             | 2047-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5548 | PA      | $5653.12      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566936 | PA      | $545587.92    | 0.02%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                       | Madison Park Funding XXI Ltd                                                    | CUSIP: 55820JBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1582450.65   | 0.07%             | 2032-10-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1277203.61   | 0.05%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                      | ONEOK Inc                                                                       | CUSIP: 682680BD4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     766000 | PA      | $776048.31    | 0.03%             | 2026-01-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                  | Citigroup Mortgage Loan Trust 2005-3                                            | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21453 | PA      | $20621.21     | 0.00%             | 2035-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128L4R71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158028 | PA      | $164053.26    | 0.01%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410LBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50670 | PA      | $50278.55     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137ADXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     981718 | PA      | $968212.08    | 0.04%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414QWC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17238 | PA      | $17847.48     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                             | Southwest Gas Corp                                                              | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     160000 | PA      | $140927.85    | 0.01%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AJ6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3949 | PA      | $3918.49      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417XAK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35670 | PA      | $36246.64     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BAPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12830292 | PA      | $12137833.54  | 0.50%             | 2044-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                     | Verus Securitization Trust 2021-4                                               | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1409926 | PA      | $1091743.05   | 0.05%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73021 | PA      | $75868.71     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP                                         | Hartford Financial Services Group Inc/The                                       | CUSIP: 416515BC7<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    2813000 | PA      | $2361879.19   | 0.10%             | 2047-02-12      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50048 | PA      | $51999.45     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20936 | PA      | $19945.00     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                       | Visa Inc                                                                        | CUSIP: 92826CAE2<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     822000 | PA      | $779601.12    | 0.03%             | 2035-12-14      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AAW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2616880 | PA      | $253717.76    | 0.01%             | 2041-05-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                             | Royalty Pharma PLC                                                              | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     537000 | PA      | $481097.03    | 0.02%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137H6M93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25908273 | PA      | $4096942.56   | 0.17%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45943 | PA      | $47738.79     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                 | WFRBS Commercial Mortgage Trust 2013-C12                                        | CUSIP: 92937FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4017360 | PA      | $5107.87      | 0.00%             | 2048-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                               | Ventas Realty LP                                                                | CUSIP: 92277GAB3<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     163000 | PA      | $149235.25    | 0.01%             | 2043-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GNLK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42682 | PA      | $41766.15     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414HTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45181 | PA      | $47218.18     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                | Fannie Mae Interest Strip                                                       | CUSIP: 31395QJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217056 | PA      | $32325.59     | 0.00%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                          | Palmer Square CLO 2013-2 Ltd                                                    | CUSIP: 69688AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3787720.00   | 0.16%             | 2031-10-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418MK76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215902 | PA      | $224090.55    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                  | CUSIP: 93363NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433949 | PA      | $388170.29    | 0.02%             | 2036-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                         | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     780000 | PA      | $769921.41    | 0.03%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47022 | PA      | $48758.47     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ADT39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180435 | PA      | $178556.16    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QL23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51829 | PA      | $52920.19     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398WRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453826 | PA      | $53725.05     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                         | Anglo American Capital PLC                                                      | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     276000 | PA      | $274668.43    | 0.01%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411FKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1364 | PA      | $1399.01      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     980000 | PA      | $958529.86    | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                          | Truist Financial Corp                                                           | CUSIP: 89788MAD4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     467000 | PA      | $414280.76    | 0.02%             | 2027-03-02      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                          | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $833626.45    | 0.03%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137B2BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3656550 | PA      | $3398747.60   | 0.14%             | 2033-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1710000 | PA      | $1334626.67   | 0.06%             | N/A             | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                          | Palmer Square CLO 2021-3 Ltd                                                    | CUSIP: 69688FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1941968.00   | 0.08%             | 2035-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410X3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $459.01       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419JWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12199 | PA      | $11954.54     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4859039 | PA      | $4126777.43   | 0.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416KGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1946 | PA      | $1899.87      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31391DRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7838 | PA      | $8039.90      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                                        | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     485000 | PA      | $385412.26    | 0.02%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398RFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435857 | PA      | $437229.48    | 0.02%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416PXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63572 | PA      | $63072.09     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398WQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3721758 | PA      | $3782843.34   | 0.16%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36194U2W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2010268 | PA      | $1829265.03   | 0.08%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FVTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4648559 | PA      | $952611.13    | 0.04%             | 2050-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC                                            | Nestle Holdings Inc                                                             | CUSIP: 641062BB9<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |    1116000 | PA      | $1091669.64   | 0.05%             | 2027-10-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                               | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1472000 | PA      | $1260956.15   | 0.05%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                         | Taco Bell Funding LLC                                                           | CUSIP: 87342RAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1728000 | PA      | $1621883.87   | 0.07%             | 2048-11-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                  | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     806000 | PA      | $700083.21    | 0.03%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                           | WEC Energy Group Inc                                                            | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     197000 | PA      | $197161.03    | 0.01%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407EYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322029 | PA      | $319270.24    | 0.01%             | 2035-08-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -25247000 | NC      | $-400171.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371KML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5234 | PA      | $5425.04      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN NATURAL GAS CO                                        | Northern Natural Gas Co                                                         | CUSIP: 665501AM4<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |     611000 | PA      | $414741.73    | 0.02%             | 2051-10-16      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5750000 | PA      | $4984254.16   | 0.21%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      77000 | PA      | $45843.57     | 0.00%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                           | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     383000 | PA      | $315394.50    | 0.01%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $521.96       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A9LB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35843 | PA      | $35565.47     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GXH53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16176 | PA      | $15811.60     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121897 | PA      | $126521.22    | 0.01%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                        | Washington Gas Light Co                                                         | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |     711000 | PA      | $519511.39    | 0.02%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                         | Aviation Capital Group LLC                                                      | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     452000 | PA      | $448383.35    | 0.02%             | 2023-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 383742Y31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1231947 | PA      | $97320.61     | 0.00%             | 2038-04-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                         | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     960000 | PA      | $998232.63    | 0.04%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                               | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     918000 | PA      | $578404.34    | 0.02%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419EC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744342 | PA      | $738586.74    | 0.03%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                 | Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | CUSIP: 94989AAX3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |   22959831 | PA      | $395912.43    | 0.02%             | 2047-12-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2018-2                               | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     670783 | PA      | $594136.63    | 0.02%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417JFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51871 | PA      | $51113.87     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                                 | Securitized Asset Backed Receivables LLC Trust 2006-WM4                         | CUSIP: 81377XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51628 | PA      | $15499.71     | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378JDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464915 | PA      | $417714.48    | 0.02%             | 2042-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1870165.20   | 0.08%             | 2041-10-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                       | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAK6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    1168000 | PA      | $1181002.46   | 0.05%             | 2033-04-22      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31335BTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201136 | PA      | $190945.39    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                   | UBS Group AG                                                                    | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     383000 | PA      | $289221.88    | 0.01%             | 2032-02-11      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2456 | PA      | $2566.91      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377YTY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32493 | PA      | $241.71       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TCW Gem Ltd                                                    | TCW CLO 2020-1 Ltd                                                              | CUSIP: 87190CBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5643366.00   | 0.23%             | 2034-04-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund                 | Goldman Sachs Financial Square Government Fund                                  | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | STIV             | RF                | US        |   94736000 | NS      | $94736000.00  | 3.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138X1L38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298726 | PA      | $1248630.41   | 0.05%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                     | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    1172000 | PA      | $1167204.96   | 0.05%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     527000 | PA      | $453500.61    | 0.02%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     727000 | PA      | $603868.31    | 0.03%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411WXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38885 | PA      | $40756.56     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                        | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     309000 | PA      | $273051.12    | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140J86J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6228773 | PA      | $5796124.45   | 0.24%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296DP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     643543 | PA      | $659364.30    | 0.03%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38375KRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6099609 | PA      | $598484.46    | 0.02%             | 2037-06-16      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16549334 | PA      | $14355240.05  | 0.59%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                           | Lockheed Martin Corp                                                            | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     619000 | PA      | $652619.54    | 0.03%             | 2054-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     245000 | PA      | $185108.98    | 0.01%             | 2041-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                 | Barings CLO Ltd 2017-I                                                          | CUSIP: 06760BAC6<br>LEI: 549300TE5WUQQTRVZ282 | Long             | ABS-CBDO         | CORP              | KY        |    3470000 | PA      | $3385384.05   | 0.14%             | 2029-07-18      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5902150 | PA      | $6032783.52   | 0.25%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411XDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $437.61       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86029 | PA      | $82574.27     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1315300 | PA      | $1197950.58   | 0.05%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924000 | PA      | $754015.69    | 0.03%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TJV8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     313000 | PA      | $279750.04    | 0.01%             | 2027-01-13      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65281 | PA      | $67756.42     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                                       | Main Street Capital Corp                                                        | CUSIP: 56035LAD6<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |     684000 | PA      | $674561.05    | 0.03%             | 2024-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                            | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     109000 | PA      | $106885.21    | 0.00%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QLP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7933 | PA      | $8007.26      | 0.00%             | 2035-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31389G4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $232.05       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1821376 | PA      | $1580393.33   | 0.07%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1186000 | PA      | $907981.32    | 0.04%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418MDB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33080 | PA      | $34334.38     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                       | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     982000 | PA      | $924819.12    | 0.04%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419DZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57965 | PA      | $57516.94     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM 2016-CR28 Mortgage Trust                                                   | CUSIP: 12593YBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   67097657 | PA      | $1098133.67   | 0.05%             | 2049-02-10      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                           | FREMF 2019-KG01 Mortgage Trust                                                  | CUSIP: 30298CAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66217546 | PA      | $233191.71    | 0.01%             | 2029-04-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2019-R01                                    | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184968 | PA      | $184545.95    | 0.01%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398CKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193406 | PA      | $185612.74    | 0.01%             | 2033-03-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5DD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24821 | PA      | $25089.57     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414R4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33134 | PA      | $34301.66     | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                   | Enbridge Inc                                                                    | CUSIP: 29250NBC8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     979000 | PA      | $887676.79    | 0.04%             | 2080-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                   | Enbridge Inc                                                                    | CUSIP: 29250NBP9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     631000 | PA      | $625706.42    | 0.03%             | 2083-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412MGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $759.51       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601050 | PA      | $621480.54    | 0.03%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4375000 | PA      | $4598139.70   | 0.19%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2178 | PA      | $2131.65      | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     853000 | PA      | $669342.74    | 0.03%             | 2048-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc                                 | Bear Stearns Structured Products Inc Trust 2007-R6                              | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85816 | PA      | $69017.34     | 0.00%             | 2036-01-26      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| INDUSTRIAL AND COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC | IND & COM BK CHINA FIN SVCS LLC                                                 | CUSIP: 000000000<br>LEI: 5493003O0P1GJ0O8CI80 | Long             | RA               | CORP              | US        |    2699202 | PA      | $2699202.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                         | Teck Resources Ltd                                                              | CUSIP: 878742AZ8<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     362000 | PA      | $323077.98    | 0.01%             | 2043-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415RL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3244 | PA      | $3305.27      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                            | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2335000 | PA      | $1998658.45   | 0.08%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140XD6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4685854 | PA      | $4012389.18   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2140000 | PA      | $1710552.93   | 0.07%             | 2051-09-27      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31400JYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29508 | PA      | $29724.36     | 0.00%             | 2033-02-01      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AABP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765285 | PA      | $485649.94    | 0.02%             | 2042-12-25      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17704 | PA      | $17567.20     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AFGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1621317 | PA      | $34097.44     | 0.00%             | 2041-01-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36297DAD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1653 | PA      | $1693.61      | 0.00%             | 2039-03-15      | 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      | $104695.43    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                                     | GLS Auto Receivables Issuer Trust 2021-4                                        | CUSIP: 36263DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350000 | PA      | $324406.78    | 0.01%             | 2027-10-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412SY41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32570 | PA      | $33581.77     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                 | S&P Global Inc                                                                  | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1252000 | PA      | $1071386.77   | 0.04%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417WKY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846650 | PA      | $840095.83    | 0.03%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260940 | PA      | $259176.29    | 0.01%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11778 | PA      | $12237.78     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCAR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     509454 | PA      | $528504.62    | 0.02%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406K5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8971 | PA      | $9081.60      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8037707 | PA      | $549487.42    | 0.02%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                         | Commonwealth Bank of Australia                                                  | CUSIP: 202712BL8<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     745000 | PA      | $547029.12    | 0.02%             | 2039-09-12      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                             | Meta Platforms Inc                                                              | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1113000 | PA      | $890223.90    | 0.04%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                         | Anglo American Capital PLC                                                      | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     445000 | PA      | $374970.01    | 0.02%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                 | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                   | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37798538 | PA      | $652245.90    | 0.03%             | 2049-12-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-107349.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092788 | PA      | $1137909.97   | 0.05%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31391PEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $500.46       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3298000 | PA      | $1844213.90   | 0.08%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AULV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196015 | PA      | $193935.34    | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296XUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52197 | PA      | $53473.35     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | Sofi Professional Loan Program 2018-B Trust                                     | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4493497.00   | 0.19%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  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        |     764000 | PA      | $616328.56    | 0.03%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HP INC                                                         | HP Inc                                                                          | CUSIP: 40434LAK1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     238000 | PA      | $217737.83    | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GSZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61922 | PA      | $60861.04     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                            | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1676000 | PA      | $1428127.70   | 0.06%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AUAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14814450 | PA      | $1227258.63   | 0.05%             | 2046-11-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223226 | PA      | $225572.11    | 0.01%             | 2035-03-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     773500 | PA      | $630614.01    | 0.03%             | 2031-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30206 | PA      | $31351.53     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya High Yield Bond Fund                                      | Voya High Yield Bond Fund                                                       | CUSIP: 92913L593<br>LEI: OTPD0VW0B2EUAT57PE57 | Long             | EC               | RF                | US        |   10754191 | NS      | $70655037.69  | 2.93%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL FINANCE INTL NV                                           | Enel Finance International NV                                                   | CUSIP: 29278GBB3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     877000 | PA      | $941603.16    | 0.04%             | 2052-10-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QQ2Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475928 | PA      | $443137.05    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326175 | PA      | $57295.47     | 0.00%             | 2044-02-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     772000 | PA      | $768182.68    | 0.03%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186422 | PA      | $165176.82    | 0.01%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2017-6                                                 | CUSIP: 46649HBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     981416 | PA      | $821666.23    | 0.03%             | 2048-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416CJW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4626 | PA      | $4835.03      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                          | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     418000 | PA      | $370357.69    | 0.02%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1820 | PA      | $1903.87      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                           | Sabra Health Care LP                                                            | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     448000 | PA      | $334365.63    | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                                 | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366EP1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     300000 | PA      | $341786.16    | 0.01%             | 2048-05-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                         | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBY5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1551305.65   | 0.06%             | 2027-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411XER2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4956 | PA      | $5035.65      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1757900 | PA      | $1577646.59   | 0.07%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                         | CVS Pass-Through Trust                                                          | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      49540 | PA      | $50462.17     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A4BU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155446 | PA      | $152122.93    | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                              | Union Electric Co                                                               | CUSIP: 906548CJ9<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     998000 | PA      | $821659.32    | 0.03%             | 2042-09-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                          | DB Master Finance LLC                                                           | CUSIP: 233046AK7<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     483750 | PA      | $450401.48    | 0.02%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407UEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $494.47       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                  | Sempra Energy                                                                   | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    1331000 | PA      | $1037174.44   | 0.04%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38376LTT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2681611 | PA      | $299168.80    | 0.01%             | 2041-06-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1537000 | PA      | $1218768.59   | 0.05%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED                                 | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366EQ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $213163.52    | 0.01%             | 2031-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6027866 | PA      | $5598402.91   | 0.23%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36241LKK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7928 | PA      | $8120.23      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418AA57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542477 | PA      | $538278.29    | 0.02%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2845000 | PA      | $1967697.45   | 0.08%             | 2051-09-27      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                       | Interstate Power and Light Co                                                   | CUSIP: 461070AL8<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3513904.65   | 0.15%             | 2024-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413JJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1614.04      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                       | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1345000 | PA      | $1220827.29   | 0.05%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                                            | BMD2 Re-Remic Trust 2019-FRR1                                                   | CUSIP: 055631HH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1348000 | PA      | $907206.76    | 0.04%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        100 | PA      | $71.45        | 0.00%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                 | Structured Asset Mortgage Investments II Trust 2005-AR5                         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56543 | PA      | $50479.06     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                        | Jersey Central Power & Light Co                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    2802000 | PA      | $2709489.08   | 0.11%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                           | WEC Energy Group Inc                                                            | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    1683000 | PA      | $1430325.66   | 0.06%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9844962 | PA      | $9207778.66   | 0.38%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179M2T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207457 | PA      | $211142.82    | 0.01%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $2654060.31   | 0.11%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                    | JPY CALL VERSUS USD PUT                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              | CORP              | FR        |    6000500 | NC      | $122724.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419B3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32408 | PA      | $32157.10     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                | CMS Energy Corp                                                                 | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     600000 | PA      | $520475.57    | 0.02%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2020-3                                                   | CUSIP: 81748ACE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1976333 | PA      | $1494314.84   | 0.06%             | 2050-04-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                         | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     885000 | PA      | $901007.43    | 0.04%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416CJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12560 | PA      | $13036.86     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412T3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        846 | PA      | $860.94       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403TT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $281.46       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140FDB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2247173 | PA      | $2088915.25   | 0.09%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                           | Entergy Arkansas LLC                                                            | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     699000 | PA      | $424506.54    | 0.02%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38379DCX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2521769 | PA      | $216886.24    | 0.01%             | 2044-06-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398SWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9963536 | PA      | $863877.41    | 0.04%             | 2040-12-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                      | Aetna Inc                                                                       | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    2403000 | PA      | $2084731.52   | 0.09%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EDEJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4179 | PA      | $4071.57      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17652 | PA      | $17102.77     | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QNKY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1891569 | PA      | $1707602.29   | 0.07%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                       | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NY7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     616000 | PA      | $508399.57    | 0.02%             | 2032-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                         | Williams Cos Inc/The                                                            | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3804000 | PA      | $3701398.70   | 0.15%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                     | US Bancorp                                                                      | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     936000 | PA      | $974724.69    | 0.04%             | 2033-10-21      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| OLD REPUBLIC INTL CORP                                         | Old Republic International Corp                                                 | CUSIP: 680223AL8<br>LEI: 549300IV6O2YY2A1KH37 | Long             | DBT              | CORP              | US        |    1044000 | PA      | $720431.99    | 0.03%             | 2051-06-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417BTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26994 | PA      | $26153.43     | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140EX2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3129966 | PA      | $2910153.01   | 0.12%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415PM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53396 | PA      | $55422.03     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AA3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19881 | PA      | $19727.32     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31405AYL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3157 | PA      | $3115.85      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411REN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27579 | PA      | $28040.24     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                       | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1283020.01   | 0.05%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                             | THL Credit Wind River 2017-3 Clo Ltd                                            | CUSIP: 97316LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6593580.00   | 0.27%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                     | Morgan Stanley ABS Capital I Inc Trust 2005-NC2                                 | CUSIP: 61744CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603134 | PA      | $591728.06    | 0.02%             | 2035-03-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AAH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5014974 | PA      | $471441.43    | 0.02%             | 2042-12-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A9HT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718270 | PA      | $652603.63    | 0.03%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6399 | PA      | $6684.11      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137ALY45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415689 | PA      | $406915.54    | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                         | Marlette Funding Trust 2019-2                                                   | CUSIP: 57109HAC6<br>LEI: 549300Y3KZXU3NUCX480 | Long             | ABS-O            | CORP              | US        |     561469 | PA      | $557327.61    | 0.02%             | 2029-07-16      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1886000 | PA      | $1576884.22   | 0.07%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                 | Lowe's Cos Inc                                                                  | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     260000 | PA      | $203475.16    | 0.01%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416XKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351093 | PA      | $348377.65    | 0.01%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416RFA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13106 | PA      | $12935.85     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                      | CIM Trust 2020-J1                                                               | CUSIP: 12559YBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1420910 | PA      | $1096049.39   | 0.05%             | 2050-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                  | Bear Stearns Mortgage Funding Trust 2006-AR5                                    | CUSIP: 07401NAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1701391 | PA      | $1447726.01   | 0.06%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-219111.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416M2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50606 | PA      | $50162.91     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414QAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8982 | PA      | $9036.43      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | Sofi Professional Loan Program 2018-A LLC                                       | CUSIP: 83406EAD7<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $1978880.42   | 0.08%             | 2042-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413N6V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $612.13       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                               | Duke Energy Corp                                                                | CUSIP: 26441CBG9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     360000 | PA      | $329400.00    | 0.01%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     451000 | PA      | $284821.08    | 0.01%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GJH77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     707060 | PA      | $702383.36    | 0.03%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378PJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5071392 | PA      | $1112327.78   | 0.05%             | 2043-12-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1234 | PA      | $1212.05      | 0.00%             | 2031-09-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36241KYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47131 | PA      | $48286.75     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2020-SBT1                                   | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $791719.60    | 0.03%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31359HA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1290.74      | 0.00%             | 2024-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WHB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7568905 | PA      | $1239938.09   | 0.05%             | 2044-02-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3133B4H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4568517 | PA      | $4051401.78   | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41484 | PA      | $42358.07     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411WZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        588 | PA      | $600.82       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43092000 | PA      | $35073828.90  | 1.45%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM Re-REMIC Trust 2021-FRR1                                                    | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8097000 | PA      | $5102529.81   | 0.21%             | 2050-11-29      | None          | 0.00%                 | 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        |    2331900 | PA      | $2027449.50   | 0.08%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | CME Ultra Long Term US Treasury Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        498 | NC      | $-1151288.06  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| TIME WARNER CABLE LLC                                          | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    3754000 | PA      | $3284854.77   | 0.14%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GU4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282973 | PA      | $278007.24    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36295GSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30281 | PA      | $30670.63     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                             | Meta Platforms Inc                                                              | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1698000 | PA      | $1371382.36   | 0.06%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137B2HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $71247.00     | 0.00%             | 2041-06-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                 | HarborView Mortgage Loan Trust 2005-2                                           | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33362 | PA      | $29709.97     | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2020-8                                                 | CUSIP: 46652TCG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1366710 | PA      | $1060898.97   | 0.04%             | 2051-03-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416VGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31850 | PA      | $33104.06     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418NET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61119 | PA      | $60646.98     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101223 | PA      | $102782.80    | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36292HSS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1749 | PA      | $1761.47      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     838000 | PA      | $867316.98    | 0.04%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                               | Paramount Global                                                                | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1004000 | PA      | $734226.54    | 0.03%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5063563 | PA      | $4329718.95   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403TTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186200 | PA      | $190542.54    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                   | Enbridge Inc                                                                    | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     631000 | PA      | $614879.67    | 0.03%             | 2083-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137ASW34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     758587 | PA      | $7437.04      | 0.00%             | 2040-04-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                               | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     575000 | PA      | $479670.19    | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                        | Home Equity Asset Trust 2005-2                                                  | CUSIP: 437084JU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56112 | PA      | $55974.06     | 0.00%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -50494000 | NC      | $-1937565.89  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                          | Lehman Mortgage Trust 2006-9                                                    | CUSIP: 52521HBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6531808 | PA      | $626021.54    | 0.03%             | 2037-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                    | Cargill Inc                                                                     | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     374000 | PA      | $375850.35    | 0.02%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418UEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44890 | PA      | $44413.67     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396ERS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224402 | PA      | $973.86       | 0.00%             | 2035-03-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                         | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     629000 | PA      | $448289.97    | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     529000 | PA      | $457967.94    | 0.02%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410F4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17381 | PA      | $18164.20     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414LZT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1525.61      | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407H5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2289 | PA      | $2392.64      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1604000 | PA      | $1548284.74   | 0.06%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3133B3WP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4678262 | PA      | $3988508.91   | 0.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QN6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9598692 | PA      | $8472824.21   | 0.35%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137F97C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35998872 | PA      | $4992726.72   | 0.21%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                            | PayPal Holdings Inc                                                             | CUSIP: 70450YAN3<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    2526000 | PA      | $2309486.61   | 0.10%             | 2062-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452035 | PA      | $423554.44    | 0.02%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                    | Target Corp                                                                     | CUSIP: 87612EBN5<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |     547000 | PA      | $377824.69    | 0.02%             | 2052-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $931943.20    | 0.04%             | 2041-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31394EKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2106131 | PA      | $192089.28    | 0.01%             | 2035-07-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| NARRAGANSETT ELECTRIC                                          | Narragansett Electric Co/The                                                    | CUSIP: 631005BJ3<br>LEI: VAI0KZ806W8MCH0BCZ61 | Long             | DBT              | CORP              | US        |     188000 | PA      | $168413.50    | 0.01%             | 2030-04-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5347 | PA      | $5558.43      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A0A72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1352208 | PA      | $1335829.90   | 0.06%             | 2041-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413HHE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13993 | PA      | $14430.13     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                     | VMware Inc                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     809000 | PA      | $706272.35    | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412YEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1297 | PA      | $1335.01      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EKB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5297 | PA      | $5255.57      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM 2012-CCRE5 Mortgage Trust                                                  | CUSIP: 12623SAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307998 | PA      | $583.66       | 0.00%             | 2045-12-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                                           | Mississippi Power Co                                                            | CUSIP: 605417BZ6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    2745000 | PA      | $2238097.68   | 0.09%             | 2042-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                         | Aviation Capital Group LLC                                                      | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     863000 | PA      | $848385.34    | 0.04%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                   | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1323940 | PA      | $1107746.95   | 0.05%             | 2037-07-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                   | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     452000 | PA      | $350454.75    | 0.01%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36751 | PA      | $36502.10     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     178000 | PA      | $162248.96    | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     292000 | PA      | $274088.02    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414U3H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58403 | PA      | $58982.73     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6948600 | PA      | $5689797.05   | 0.24%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ALU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43335 | PA      | $42407.94     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                          | Waste Connections Inc                                                           | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     575000 | PA      | $535816.31    | 0.02%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                 | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3                      | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37410 | PA      | $35682.31     | 0.00%             | 2033-05-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                            | PayPal Holdings Inc                                                             | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    1033000 | PA      | $975347.00    | 0.04%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2163000 | PA      | $1728716.21   | 0.07%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B12F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3638402 | PA      | $309160.86    | 0.01%             | 2038-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36300 | PA      | $37587.08     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                           | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAL4<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     283000 | PA      | $189174.92    | 0.01%             | 2031-10-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31400UTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37870 | PA      | $38305.68     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                             | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |     480000 | PA      | $313146.55    | 0.01%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396YTY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228665 | PA      | $243736.15    | 0.01%             | 2038-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32144 | PA      | $32821.67     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                   | NiSource Inc                                                                    | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     764000 | PA      | $776292.97    | 0.03%             | 2041-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                             | Alcon Finance Corp                                                              | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     474000 | PA      | $477666.90    | 0.02%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                   | QUALCOMM Inc                                                                    | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     152000 | PA      | $158766.29    | 0.01%             | 2033-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| SEMPRA ENERGY                                                  | Sempra Energy                                                                   | CUSIP: 816851BK4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    1315000 | PA      | $1219241.70   | 0.05%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Beacon Container Finance II LL                                 | Beacon Container Finance II LLC                                                 | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     839167 | PA      | $712638.35    | 0.03%             | 2046-10-22      | Fixed         | 2.25%                 | 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        |     291750 | PA      | $252942.06    | 0.01%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418MG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17968 | PA      | $18600.14     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                   | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16859436 | PA      | $588750.06    | 0.02%             | 2049-08-10      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417KWA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146227 | PA      | $144226.76    | 0.01%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4427600 | PA      | $4250323.06   | 0.18%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413YL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17880 | PA      | $18437.63     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     742000 | PA      | $781124.06    | 0.03%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                         | UBS AG                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    2470000 | PA      | $2443183.21   | 0.10%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                    | Southern Co/The                                                                 | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    1481000 | PA      | $1199538.05   | 0.05%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                | CSL Finance PLC                                                                 | CUSIP: 12661PAF6<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     278000 | PA      | $247536.79    | 0.01%             | 2062-04-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1074000 | PA      | $998952.22    | 0.04%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ASQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21050 | PA      | $20526.52     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                                      | ORIX Corp                                                                       | CUSIP: 686330AK7<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4818993.80   | 0.20%             | 2024-12-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                            | Dow Chemical Co/The                                                             | CUSIP: 260543DH3<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     409000 | PA      | $446549.39    | 0.02%             | 2053-05-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410FVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63241 | PA      | $65639.43     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                             | Banco Santander SA                                                              | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $454454.32    | 0.02%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417CJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195723 | PA      | $188059.43    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     381000 | PA      | $333711.15    | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                        | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    1158000 | PA      | $906831.42    | 0.04%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3390000 | PA      | $3019305.23   | 0.13%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5925999 | PA      | $5142188.40   | 0.21%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1024000 | PA      | $1057722.68   | 0.04%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410F2G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9104 | PA      | $9403.27      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410F5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11020 | PA      | $11517.03     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                                         | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1067000 | PA      | $1059549.77   | 0.04%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                           | Enel Finance International NV                                                   | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     841000 | PA      | $891280.01    | 0.04%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378YAT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5576020 | PA      | $926588.39    | 0.04%             | 2043-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411LCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10476 | PA      | $10649.91     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410PYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33608 | PA      | $34931.27     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409GPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2272.69      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137B1JS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466871 | PA      | $77103.60     | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418TCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183578 | PA      | $181716.29    | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As                                 | Chase Funding Trust Series 2002-4                                               | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37273 | PA      | $35803.20     | 0.00%             | 2032-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138W4QC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226870 | PA      | $212551.40    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                           | Lockheed Martin Corp                                                            | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     290000 | PA      | $313438.84    | 0.01%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A6JS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98033 | PA      | $97275.00     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                      | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |  -25247000 | NC      | $-1332497.53  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415XXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1433 | PA      | $1480.44      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1378758.58   | 0.06%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296P6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31202 | PA      | $31859.16     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                       | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     825000 | PA      | $764354.39    | 0.03%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QPDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2183271 | PA      | $1972747.16   | 0.08%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417NB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120990 | PA      | $120054.65    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378G2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130172 | PA      | $112776.46    | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                     | Humana Inc                                                                      | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    1115000 | PA      | $965587.95    | 0.04%             | 2027-02-03      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QGYZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8006726 | PA      | $6803006.15   | 0.28%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                        | Flagstar Mortgage Trust 2018-1                                                  | CUSIP: 33850TAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1330430 | PA      | $1131932.48   | 0.05%             | 2048-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411JNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7557 | PA      | $7711.46      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416CCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3171 | PA      | $3141.97      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396H5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308956 | PA      | $69006.43     | 0.00%             | 2036-01-15      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11943 | PA      | $11850.97     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410M3L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1966 | PA      | $2023.77      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QMLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1021659 | PA      | $843042.62    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65451 | PA      | $66950.93     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                   | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  105040797 | PA      | $4072526.24   | 0.17%             | 2052-09-01      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31384LXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48230 | PA      | $49009.61     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2297 | PA      | $2398.42      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2631000 | PA      | $2133906.23   | 0.09%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31385XM87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28380 | PA      | $28030.57     | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31393PYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139741 | PA      | $24210.78     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                     | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     305000 | PA      | $311983.26    | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                               | ABN AMRO Bank NV                                                                | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $435114.29    | 0.02%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     614000 | PA      | $520598.81    | 0.02%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A4MK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8007969 | PA      | $761431.32    | 0.03%             | 2042-03-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3564580.00   | 0.15%             | 2042-01-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| 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        |    3577662 | PA      | $3050017.66   | 0.13%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                 | Benefit Street Partners CLO XVIII Ltd                                           | CUSIP: 08186PAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1950000 | PA      | $1849235.70   | 0.08%             | 2034-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31378C2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $452.96       | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419ED55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71145 | PA      | $70594.46     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGLH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3716486 | PA      | $3059149.51   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                 | CSAIL 2020-C19 Commercial Mortgage Trust                                        | CUSIP: 12597NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $434951.48    | 0.02%             | 2053-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                           | WEC Energy Group Inc                                                            | CUSIP: 92939UAG1<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     396000 | PA      | $335995.89    | 0.01%             | 2028-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AV5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7921408 | PA      | $1687217.11   | 0.07%             | 2047-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                         | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAR8<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     433000 | PA      | $358004.24    | 0.01%             | 2029-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35766 | PA      | $35839.83     | 0.00%             | 2035-09-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417Y2Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9787 | PA      | $9711.04      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3103 | PA      | $3079.38      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410XHV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12188 | PA      | $12461.31     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422188 | PA      | $417705.94    | 0.02%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                       | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1505000 | PA      | $1357439.20   | 0.06%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411UAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5274 | PA      | $5466.02      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     255000 | PA      | $168181.37    | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                 | SMB Private Education Loan Trust 2014-A                                         | CUSIP: 784456AF2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    1550000 | PA      | $1314705.35   | 0.05%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                | CDS CDX.NA.HY.33.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-843298.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1018000 | PA      | $883007.43    | 0.04%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416CLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118470 | PA      | $122963.16    | 0.01%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                       | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     710000 | PA      | $571038.30    | 0.02%             | 2028-02-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M55E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5025 | PA      | $5221.25      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AWXE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8592657 | PA      | $978110.76    | 0.04%             | 2042-12-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Voya VACS Series EMCD Fund                                     | Voya VACS Series EMCD Fund                                                      | CUSIP: 92913M302<br>LEI: 5493007WQXO53JSF1B65 | Long             | EC               | RF                | US        |   10523275 | NS      | $86396089.69  | 3.58%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     814000 | PA      | $701788.93    | 0.03%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396LH86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3315546 | PA      | $91944.07     | 0.00%             | 2036-10-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31373UDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $205.44       | 0.00%             | 2025-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                               | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210415 | PA      | $199097.23    | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                  | AEP Texas Inc                                                                   | CUSIP: 0010EPAN8<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1198000 | PA      | $1151905.75   | 0.05%             | 2025-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88170 | PA      | $89828.89     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                 | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    3061000 | PA      | $2181490.34   | 0.09%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138W9ME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2163774 | PA      | $2086953.35   | 0.09%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKD6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     375000 | PA      | $368002.71    | 0.02%             | 2029-06-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296DGJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1448 | PA      | $1463.13      | 0.00%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                     | Cigna Corp                                                                      | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3635506.17   | 0.15%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412LND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3535 | PA      | $3661.25      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                    | Cargill Inc                                                                     | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     831000 | PA      | $658153.84    | 0.03%             | 2031-11-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                           | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     296000 | PA      | $269076.24    | 0.01%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31395GJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196333 | PA      | $198213.96    | 0.01%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                         | General Motors Financial Co Inc                                                 | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1893000 | PA      | $1801438.54   | 0.07%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   20904800 | NC      | $-48922.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371KBU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6207 | PA      | $6432.48      | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                               | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     473000 | PA      | $357991.88    | 0.01%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138APTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5378 | PA      | $5210.63      | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ASTY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85668 | PA      | $84205.40     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CIB (NEW YORK)                                 | CREDIT AGRICOLE CIB (NEW YORK)                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2410000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410LDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3229 | PA      | $3203.91      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414NDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1123.25      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3724384 | PA      | $3184286.49   | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                    | Phillips 66                                                                     | CUSIP: 718546AY0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     510000 | PA      | $487636.96    | 0.02%             | 2024-02-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                             | Realty Income Corp                                                              | CUSIP: 756109BF0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     575000 | PA      | $572566.34    | 0.02%             | 2026-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371K4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.55        | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QPD27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2022206 | PA      | $1824701.85   | 0.08%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7028 | PA      | $7278.28      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603237 | PA      | $602622.50    | 0.02%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68285 | PA      | $70954.44     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31307M2M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320812 | PA      | $300838.67    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912766 | PA      | $878399.20    | 0.04%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                              | Cedar Funding IV CLO Ltd                                                        | CUSIP: 150323BE2<br>LEI: 549300PPJP6KEORGHQ85 | Long             | ABS-CBDO         | CORP              | KY        |    3250000 | PA      | $3021593.25   | 0.13%             | 2034-07-23      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2137027 | PA      | $1978076.75   | 0.08%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140LYM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2830074 | PA      | $2329559.17   | 0.10%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A2VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51762 | PA      | $46817.07     | 0.00%             | 2041-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33322000 | PA      | $30620509.49  | 1.27%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                               | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -25247000 | NC      | $-1007148.66  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414EQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29371 | PA      | $30181.95     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WHA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8713628 | PA      | $1245328.12   | 0.05%             | 2044-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     440000 | PA      | $400681.48    | 0.02%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KLY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $862.66       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     139400 | PA      | $125879.29    | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28786 | PA      | $28563.60     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2328000 | PA      | $2311446.29   | 0.10%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38379B3W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6949249 | PA      | $1351940.17   | 0.06%             | 2044-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                           | DBUBS 2011-LC2 Mortgage Trust                                                   | CUSIP: 23305XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253692 | PA      | $252540.87    | 0.01%             | 2044-07-10      | Floating      | 4.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AXDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122357 | PA      | $1005111.93   | 0.04%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AQBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24973 | PA      | $24780.34     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406J3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18967 | PA      | $18574.80     | 0.00%             | 2035-02-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413CPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3642 | PA      | $3704.27      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833AL4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1734460.28   | 0.07%             | 2043-05-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413BLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4940 | PA      | $5180.04      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXMU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227619 | PA      | $217777.59    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151516 | PA      | $150344.60    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36297A3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87811 | PA      | $89969.70     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2438000 | PA      | $2208918.18   | 0.09%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2018-CH1                                                 | CUSIP: 81747DAU3<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     132835 | PA      | $123041.89    | 0.01%             | 2048-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        739 | PA      | $766.34       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A3ZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325581 | PA      | $35593.35     | 0.00%             | 2042-02-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377GTD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1105730 | PA      | $93856.72     | 0.00%             | 2040-06-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413ETX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8592 | PA      | $8731.18      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     485000 | PA      | $353755.23    | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137F57L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817069 | PA      | $769189.96    | 0.03%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                       | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     640000 | PA      | $547381.38    | 0.02%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1756000 | PA      | $1391854.24   | 0.06%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98239 | PA      | $99368.13     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407PL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131101 | PA      | $129451.51    | 0.01%             | 2035-10-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2759 | PA      | $2768.87      | 0.00%             | 2026-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NYW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3437 | PA      | $3449.63      | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3129354X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1647 | PA      | $1675.63      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                 | Morgan Stanley Mortgage Loan Trust 2007-13                                      | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332383 | PA      | $783937.71    | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     372000 | PA      | $355299.64    | 0.01%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                    | Southern Co/The                                                                 | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1168000.00   | 0.05%             | 2051-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137B8W94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7164627 | PA      | $630802.40    | 0.03%             | 2044-03-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5740092 | PA      | $5070447.09   | 0.21%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3133B4JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4694831 | PA      | $4020397.70   | 0.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                          | American Homes 4 Rent 2015-SFR1 Trust                                           | CUSIP: 02666AAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2408195 | PA      | $0.00         | 0.00%             | 2052-04-17      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     585000 | PA      | $581911.77    | 0.02%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31404ABG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10074 | PA      | $10210.59     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FE2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1738080 | PA      | $1318873.81   | 0.05%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                    | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3                       | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14064 | PA      | $13172.41     | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                         | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     321000 | PA      | $206370.74    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                                           | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     265000 | PA      | $201363.83    | 0.01%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                                           | Mississippi Power Co                                                            | CUSIP: 605417BY9<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |     266000 | PA      | $217215.58    | 0.01%             | 2041-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                       | Corebridge Financial Inc                                                        | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    1661000 | PA      | $1516285.51   | 0.06%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM 2012-CCRE3 Mortgage Trust                                                  | CUSIP: 12624PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4124547 | PA      | $10514.29     | 0.00%             | 2045-10-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                            | Sound Point CLO XXIX Ltd                                                        | CUSIP: 83614VAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2378688.00   | 0.10%             | 2034-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| KOMATSU FINANCE AMERICA                                        | Komatsu Finance America Inc                                                     | CUSIP: 50048WAA6<br>LEI: 549300SRAAFEEQ8Z4D68 | Long             | DBT              | CORP              | US        |     772000 | PA      | $786862.19    | 0.03%             | 2027-10-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403KB77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        716 | PA      | $729.51       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ASLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9382 | PA      | $9309.23      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AFGS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458358 | PA      | $13500.90     | 0.00%             | 2040-07-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18942000 | PA      | $17926897.08  | 0.74%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Voya Investment Grade Credit Fund                              | Voya Investment Grade Credit Fund                                               | CUSIP: 92913M708<br>LEI: 5493007IKJE2N4RJF070 | Long             | EC               | RF                | US        |   16625137 | NS      | $148794976.76 | 6.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418UDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7010 | PA      | $6942.28      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406RN68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4313 | PA      | $4422.81      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                       | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAH3<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     630000 | PA      | $404593.93    | 0.02%             | 2052-01-30      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297870 | PA      | $278137.48    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3791 | PA      | $3751.26      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22187 | PA      | $22015.38     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42251 | PA      | $40218.70     | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     288000 | PA      | $268493.96    | 0.01%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1983450.60   | 0.08%             | 2042-07-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2012-1A PTT                                         | US Airways 2012-1 Class A Pass Through Trust                                    | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1668820 | PA      | $1615688.77   | 0.07%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                 | Benefit Street Partners CLO IV Ltd                                              | CUSIP: 08180FBL4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    2250000 | PA      | $2131859.25   | 0.09%             | 2032-01-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378JCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     430261 | PA      | $389696.06    | 0.02%             | 2043-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                                    | ONE Gas Inc                                                                     | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     951000 | PA      | $912320.43    | 0.04%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2613 | PA      | $2585.19      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410QR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10393 | PA      | $10844.45     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312929FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94250 | PA      | $97934.59     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411YGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20378 | PA      | $21117.62     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1086000 | PA      | $908868.62    | 0.04%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407N6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2471 | PA      | $2554.00      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218105 | PA      | $221837.69    | 0.01%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280AW9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1250000 | PA      | $1210528.44   | 0.05%             | 2026-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138M0LF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305160 | PA      | $294359.96    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                               | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     543000 | PA      | $485363.39    | 0.02%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417DKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529174 | PA      | $495663.33    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                            | Sound Point CLO XXVI Ltd                                                        | CUSIP: 83614XAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2557251.20   | 0.11%             | 2034-07-20      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WEUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524831 | PA      | $1431352.70   | 0.06%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413AJH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2325 | PA      | $2401.72      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TTX CO                                                         | TTX Co                                                                          | CUSIP: 87305QCH2<br>LEI: 549300I8CNSYS1OGX775 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2170911.11   | 0.09%             | 2025-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413Y2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        472 | PA      | $489.79       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-183019.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378CCP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18710 | PA      | $19140.65     | 0.00%             | 2032-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411EB55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14896 | PA      | $15141.99     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                             | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     327000 | PA      | $329688.34    | 0.01%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378YA25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4512790 | PA      | $400755.62    | 0.02%             | 2039-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31395GPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     596549 | PA      | $594025.30    | 0.02%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296GQP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4698 | PA      | $4738.75      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                    | Cargill Inc                                                                     | CUSIP: 141781BR4<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     310000 | PA      | $215025.60    | 0.01%             | 2051-05-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                 | Structured Asset Mortgage Investments II Trust 2005-AR5                         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102253 | PA      | $94966.00     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295NJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2326 | PA      | $2297.48      | 0.00%             | 2032-04-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                                | CLI Funding VIII LLC                                                            | CUSIP: 12565KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1055853 | PA      | $899002.88    | 0.04%             | 2047-01-18      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31379CVN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $578.77       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                                 | First Horizon Alternative Mortgage Securities Trust 2005-AA1                    | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127609 | PA      | $80584.08     | 0.00%             | 2035-03-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QUFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1049605 | PA      | $977717.65    | 0.04%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396TA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040267 | PA      | $84322.46     | 0.00%             | 2033-09-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2019-8                                                 | CUSIP: 46591KBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875363 | PA      | $1528112.85   | 0.06%             | 2050-03-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50970 | PA      | $52958.27     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                        | Canadian Natural Resources Ltd                                                  | CUSIP: 136385AP6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     205000 | PA      | $212917.35    | 0.01%             | 2039-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371LHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $115.10       | 0.00%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414UZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84741 | PA      | $88128.06     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCK0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1893428.26   | 0.08%             | 2025-06-23      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                    | Cargill Inc                                                                     | CUSIP: 141781BM5<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     374000 | PA      | $308788.50    | 0.01%             | 2030-04-23      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31388W5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4822 | PA      | $4948.75      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119178 | PA      | $118389.08    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust                   | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18349 | PA      | $17014.55     | 0.00%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     579000 | PA      | $538405.40    | 0.02%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675130 | PA      | $628401.36    | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417AFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122708 | PA      | $119074.48    | 0.00%             | 2036-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                                  | CitiMortgage Alternative Loan Trust Series 2007-A2                              | CUSIP: 12566UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183195 | PA      | $158947.53    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38376TUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     519294 | PA      | $32490.78     | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2264317.25   | 0.09%             | 2042-01-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                   | Assurant Inc                                                                    | CUSIP: 04621XAM0<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     937000 | PA      | $795566.47    | 0.03%             | 2030-02-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412VPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7456 | PA      | $7576.36      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5412921 | PA      | $4855914.92   | 0.20%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                     | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1219000 | PA      | $835030.68    | 0.03%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409WGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316424 | PA      | $326320.02    | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530000 | PA      | $347027.52    | 0.01%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3826303 | PA      | $3678276.81   | 0.15%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7JU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14257 | PA      | $14358.98     | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2002-AR9 Trust                   | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12249 | PA      | $11288.24     | 0.00%             | 2042-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 A PTT                                        | United Airlines 2019-2 Class A Pass Through Trust                               | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     573032 | PA      | $461106.16    | 0.02%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                        | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    1757000 | PA      | $1570850.33   | 0.07%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128L45F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5508 | PA      | $5704.19      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21863 | PA      | $22715.77     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378TQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176664 | PA      | $155749.42    | 0.01%             | 2042-08-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3129324M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11883 | PA      | $12215.21     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418XE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1542.48      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409TT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        413 | PA      | $428.79       | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                       | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAM0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     750000 | PA      | $595180.85    | 0.02%             | 2042-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A6JS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786415 | PA      | $110482.28    | 0.00%             | 2042-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38374UJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8859218 | PA      | $8783779.52   | 0.36%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411KEQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4509 | PA      | $4581.45      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69067 | PA      | $71765.31     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     701000 | PA      | $699947.60    | 0.03%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418XMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20255 | PA      | $20097.91     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FRR Re-Remic Trust                                             | FRR Re-REMIC Trust 2018-C1                                                      | CUSIP: 30307WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2670351.60   | 0.11%             | 2050-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6724948 | PA      | $456032.86    | 0.02%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                       | Wisconsin Electric Power Co                                                     | CUSIP: 976656CM8<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |     861000 | PA      | $734790.81    | 0.03%             | 2028-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                        | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     251000 | PA      | $268882.97    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                   | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     633000 | PA      | $606744.26    | 0.03%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AP2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120377 | PA      | $117432.46    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296XJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461134 | PA      | $469712.72    | 0.02%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412LGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68325 | PA      | $71294.98     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1964000 | PA      | $1712581.60   | 0.07%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                              | ONEOK Partners LP                                                               | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     350000 | PA      | $331631.86    | 0.01%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                 | Long Beach Mortgage Loan Trust 2004-4                                           | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58753 | PA      | $53817.74     | 0.00%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSYA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885336 | PA      | $849783.69    | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25596 | PA      | $26567.27     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TTX CO                                                         | TTX Co                                                                          | CUSIP: 87305QCP4<br>LEI: 549300I8CNSYS1OGX775 | Long             | DBT              | CORP              | US        |     582000 | PA      | $588380.33    | 0.02%             | 2052-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8038749 | PA      | $6559156.43   | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31335HXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $309.71       | 0.00%             | 2023-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125008 | PA      | $130442.05    | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4982353 | PA      | $4068003.24   | 0.17%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411XMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20613 | PA      | $20946.21     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B4ZD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5397115 | PA      | $560892.16    | 0.02%             | 2049-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EJQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1818102 | PA      | $1747674.83   | 0.07%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                 | Alleghany Corp                                                                  | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |     681000 | PA      | $633257.55    | 0.03%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2MZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29806 | PA      | $29575.55     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     265000 | PA      | $246148.87    | 0.01%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LB-UBS Commercial Mortgage Tru                                 | LB-UBS Commercial Mortgage Trust 2006-C7                                        | CUSIP: 50180CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292068 | PA      | $0.29         | 0.00%             | 2038-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413Y6V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33938 | PA      | $35245.41     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1755000 | PA      | $1360707.92   | 0.06%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                         | General Motors Financial Co Inc                                                 | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1527000 | PA      | $1481493.02   | 0.06%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31391LAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        519 | PA      | $537.21       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416SQL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4442 | PA      | $4408.04      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                 | Salesforce Inc                                                                  | CUSIP: 79466LAK0<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1173000 | PA      | $841931.73    | 0.03%             | 2041-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                   | GS Mortgage Securities Trust 2014-GC22                                          | CUSIP: 36253BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38205627 | PA      | $313276.59    | 0.01%             | 2047-06-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36193BMR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714000 | PA      | $687200.55    | 0.03%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                        | Duke Energy Florida LLC                                                         | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     794000 | PA      | $650498.32    | 0.03%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413KH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22271 | PA      | $23239.33     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23888 | PA      | $24820.21     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407VTH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1028 | PA      | $1044.38      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                              | NSTAR Electric Co                                                               | CUSIP: 67021CAR8<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     526000 | PA      | $419680.38    | 0.02%             | 2031-08-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | CBOT 5 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -452 | NC      | $124056.31    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417UFL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58799 | PA      | $58344.16     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | Sofi Professional Loan Program 2018-D Trust                                     | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $888229.30    | 0.04%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409D6Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11757 | PA      | $12273.50     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    2549000 | PA      | $2180633.66   | 0.09%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WEWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2025581 | PA      | $1901525.34   | 0.08%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137H1GQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14371451 | PA      | $2650111.31   | 0.11%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     620000 | PA      | $586800.25    | 0.02%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1720000 | PA      | $1310273.30   | 0.05%             | 2050-03-01      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4938340 | PA      | $4450711.62   | 0.18%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398NAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3982046 | PA      | $430698.05    | 0.02%             | 2040-09-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4451000 | PA      | $3148518.78   | 0.13%             | 2050-11-27      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411AY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22601 | PA      | $23620.01     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                         | Pacific Gas and Electric Co                                                     | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     436000 | PA      | $304935.50    | 0.01%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QS2P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1540861 | PA      | $1478992.03   | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406FT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22048 | PA      | $22181.16     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408JBQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190072 | PA      | $193317.41    | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                         | CHL Mortgage Pass-Through Trust 2004-HYB9                                       | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10975 | PA      | $10890.73     | 0.00%             | 2035-02-20      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412XZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6278 | PA      | $6379.36      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                        | Shell International Finance BV                                                  | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     587000 | PA      | $481463.77    | 0.02%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                               | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     140000 | PA      | $128121.02    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31307NG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     727344 | PA      | $681997.12    | 0.03%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600500 | PA      | $1390059.25   | 0.06%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412TGT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78135 | PA      | $80745.73     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31394VS50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2670544 | PA      | $178700.29    | 0.01%             | 2035-10-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                          | Oglethorpe Power Corp                                                           | CUSIP: 677050AQ9<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     648000 | PA      | $467719.53    | 0.02%             | 2050-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128K97D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1250 | PA      | $1259.17      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140HN2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2851393 | PA      | $2734919.36   | 0.11%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312929KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46128 | PA      | $47689.45     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                       | Bear Stearns ALT-A Trust 2005-4                                                 | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222139 | PA      | $206585.28    | 0.01%             | 2035-05-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BXNY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7049171 | PA      | $749559.15    | 0.03%             | 2047-04-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                       | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1094000 | PA      | $876040.44    | 0.04%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                       | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     218000 | PA      | $172453.93    | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413FHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8931 | PA      | $9091.49      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26835000 | PA      | $25830533.48  | 1.07%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                       | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     399000 | PA      | $346823.46    | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412QHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79905 | PA      | $79266.92     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47040 | PA      | $48426.67     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 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        |      38065 | PA      | $34218.15     | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                           | WEC Energy Group Inc                                                            | CUSIP: 92939UAJ5<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     276000 | PA      | $279454.55    | 0.01%             | 2027-10-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $37022.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KLA CORP                                                       | KLA Corp                                                                        | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     644000 | PA      | $622617.74    | 0.03%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                        | Duke Energy Florida LLC                                                         | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     130000 | PA      | $109620.88    | 0.00%             | 2048-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-415496.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |  -50494000 | NC      | $-845428.82   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                                       | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1140756.72   | 0.05%             | 2025-11-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378YYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4529654 | PA      | $4175579.44   | 0.17%             | 2043-02-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                        | Duke Energy Florida LLC                                                         | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     372000 | PA      | $398288.37    | 0.02%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                 | Alleghany Corp                                                                  | CUSIP: 017175AD2<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |      25000 | PA      | $23037.41     | 0.00%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9879 | PA      | $10324.43     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                               | Trinitas Clo VII Ltd                                                            | CUSIP: 89641CAK7<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6799548.00   | 0.28%             | 2035-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NXG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        790 | PA      | $787.03       | 0.00%             | 2023-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52454000 | PA      | $52204024.17  | 2.16%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3495000 | PA      | $3110652.68   | 0.13%             | 2026-10-24      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415TK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19685 | PA      | $20444.70     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4350679 | PA      | $3783549.41   | 0.16%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1593953.42   | 0.07%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LANDESBANK BADEN-WURTTEMBERG (NEW YORK)                        | LANDESBANK BADEN-WURTTEMBERG (NEW YORK)                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2440000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410WXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $697.93       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                  | New Residential Mortgage Loan Trust 2017-3                                      | CUSIP: 64828MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1312239 | PA      | $1208824.01   | 0.05%             | 2057-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5244 | PA      | $5448.30      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396LFD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127237 | PA      | $130280.39    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3133B4JG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2671654 | PA      | $2363456.28   | 0.10%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412M4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $277.99       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418ACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21127 | PA      | $20963.19     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411JT30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51812 | PA      | $53693.62     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK FINANCIAL INC.                                   | NATIONAL BANK FINANCIAL                                                         | CUSIP: 000000000<br>LEI: 549300D83GR71RNG0O65 | Long             | RA               | CORP              | US        |   12621936 | PA      | $12621936.00  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                     | NBN Co Ltd                                                                      | CUSIP: 62878U2A9<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     738000 | PA      | $651995.13    | 0.03%             | 2026-05-05      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                           | FREMF 2019-KG01 Mortgage Trust                                                  | CUSIP: 30298CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7380000 | PA      | $32710.01     | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1483000 | PA      | $957201.02    | 0.04%             | 2050-11-27      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| NOMURA GLOBAL FINANCIAL PRODUCTS INC                           | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 0Z3VO5H2G7GRS05BHJ91 | N/A              | DIR              | CORP              | US        |    6658000 | NC      | $-32115.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                         | General Motors Financial Co Inc                                                 | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     985000 | PA      | $966084.42    | 0.04%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1517762.53   | 0.06%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36213U2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13841 | PA      | $13912.52     | 0.00%             | 2037-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                         | Diamondback Energy Inc                                                          | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     796000 | PA      | $773489.71    | 0.03%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4896116 | PA      | $4565502.62   | 0.19%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                               | Antares Holdings LP                                                             | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     842000 | PA      | $675556.08    | 0.03%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31405T3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4742 | PA      | $4759.11      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2003-4                                                   | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28704 | PA      | $26153.09     | 0.00%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     642000 | PA      | $589407.06    | 0.02%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| VIATRIS INC                                                    | Viatris Inc                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    1663000 | PA      | $1120301.14   | 0.05%             | 2040-06-22      | Fixed         | 3.85%                 | 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        |     446000 | PA      | $259519.39    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34287 | PA      | $33979.44     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                                       | Harley-Davidson Financial Services Inc                                          | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    2878000 | PA      | $2567120.94   | 0.11%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -50495000 | NC      | $-723053.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31393EAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508113 | PA      | $96533.21     | 0.00%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2018-1                                                 | CUSIP: 46648RAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1508941 | PA      | $1258902.86   | 0.05%             | 2048-06-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YAV1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1257000 | PA      | $1136551.34   | 0.05%             | 2036-05-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     988325 | PA      | $884780.14    | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     211000 | PA      | $182478.24    | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                | Danske Bank A/S                                                                 | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    1870000 | PA      | $1648732.53   | 0.07%             | 2026-09-11      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                                   | WinWater Mortgage Loan Trust 2015-5                                             | CUSIP: 97654DCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572226 | PA      | $490976.32    | 0.02%             | 2045-08-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413DL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24802 | PA      | $25741.96     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410FSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26393 | PA      | $27583.03     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                   | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225787 | PA      | $183757.47    | 0.01%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2593000 | PA      | $2538663.32   | 0.11%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     640000 | PA      | $603789.38    | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A3FN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1415679 | PA      | $45327.07     | 0.00%             | 2041-07-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7606380 | PA      | $420527.06    | 0.02%             | 2031-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33312100 | PA      | $27456457.42  | 1.14%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                                   | Eagle RE 2021-2 Ltd                                                             | CUSIP: 26982AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    1500000 | PA      | $1476344.10   | 0.06%             | 2034-04-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418RGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38432 | PA      | $38024.10     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398NQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291823 | PA      | $117359.66    | 0.00%             | 2040-10-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32243 | PA      | $33696.98     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH JERSEY INDUSTRIES                                        | South Jersey Industries Inc                                                     | CUSIP: 838518AA6<br>LEI: 549300DJYWYT5VXLFA46 | Long             | DBT              | CORP              | US        |    1541000 | PA      | $1201128.74   | 0.05%             | 2031-04-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2006-13T1                                                | CUSIP: 12668BZK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1116061 | PA      | $568623.69    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     806000 | PA      | $633259.62    | 0.03%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AGP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295564 | PA      | $293277.69    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                              | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     935000 | PA      | $952525.02    | 0.04%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36176SAL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46121 | PA      | $46417.68     | 0.00%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASB BANK LIMITED                                               | ASB Bank Ltd                                                                    | CUSIP: 04342JAA5<br>LEI: 549300IBZWZL1KTPF918 | Long             | DBT              | CORP              | NZ        |     599000 | PA      | $566429.67    | 0.02%             | 2032-06-17      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION                                  | United States Small Business Administration                                     | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      94682 | PA      | $94188.18     | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120747 | PA      | $119813.92    | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                  | RFMSI Series 2003-S9 Trust                                                      | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1214 | PA      | $1163.29      | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                              | Cedar Funding VIII Clo Ltd                                                      | CUSIP: 15032EAN9<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2849340.00   | 0.12%             | 2034-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363391 | PA      | $356282.65    | 0.01%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                                 | First Horizon Asset Securities Inc                                              | CUSIP: 32051GJ89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71366 | PA      | $60071.68     | 0.00%             | 2036-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396LMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495535 | PA      | $659870.89    | 0.03%             | 2036-11-25      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31391BHQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11532 | PA      | $11829.87     | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4780898 | PA      | $4066534.12   | 0.17%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WFNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080171 | PA      | $1034421.14   | 0.04%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3974 | PA      | $3947.36      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | 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        |       -121 | NC      | $57092.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403VRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $345.18       | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                               | Georgia Power Co                                                                | CUSIP: 373334KK6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    1505000 | PA      | $1436189.93   | 0.06%             | 2024-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                                        | United Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1576024 | PA      | $1556054.91   | 0.06%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust                   | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3689 | PA      | $3428.34      | 0.00%             | 2034-02-27      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                     | Intel Corp                                                                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     384000 | PA      | $339093.36    | 0.01%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                  | Commonbond Student Loan Trust 2018-A-GS                                         | CUSIP: 20269DAA3<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |     316257 | PA      | $293226.62    | 0.01%             | 2044-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                      | ONEOK Inc                                                                       | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     112000 | PA      | $94102.04     | 0.00%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                          | USD CALL VERSUS CNH PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   29140000 | NC      | $6522.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                        | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111EH2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394324.57    | 0.02%             | 2035-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QNKW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2534581 | PA      | $2302372.79   | 0.10%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412PJ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33001 | PA      | $32695.33     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 3620AQ7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1247 | PA      | $1273.05      | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413AJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11556 | PA      | $11756.08     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                            | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     507000 | PA      | $515788.92    | 0.02%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5246066 | PA      | $557512.00    | 0.02%             | 2043-08-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                 | Home Depot Inc/The                                                              | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     803000 | PA      | $786593.72    | 0.03%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                       | OHA Credit Funding 9 Ltd                                                        | CUSIP: 67690AAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1717646.40   | 0.07%             | 2035-07-19      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42192000 | PA      | $41928300.00  | 1.74%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407F7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4501 | PA      | $4573.49      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                                 | Wells Fargo Alternative Loan 2007-PA2 Trust                                     | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     787396 | PA      | $638013.02    | 0.03%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PARTNERRE FINANCE B LLC                                        | PartnerRe Finance B LLC                                                         | CUSIP: 70213BAC5<br>LEI: 549300O0FAGHK2F79881 | Long             | DBT              | CORP              | US        |    2781000 | PA      | $2410179.21   | 0.10%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408B2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $322.54       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                  | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392888 | PA      | $350623.75    | 0.01%             | 2036-10-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416CEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19898 | PA      | $20683.83     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B4PJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6476443 | PA      | $533035.21    | 0.02%             | 2049-05-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410UHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17525 | PA      | $18188.26     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128E2RS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $417.33       | 0.00%             | 2023-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                 | S&P Global Inc                                                                  | CUSIP: 78409VBD5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1217000 | PA      | $945410.37    | 0.04%             | 2052-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72558000 | PA      | $68057404.30  | 2.82%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSMA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418910 | PA      | $391566.54    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     857767 | PA      | $829635.39    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                       | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     438000 | PA      | $320102.36    | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AUTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424434 | PA      | $416419.11    | 0.02%             | 2045-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     526000 | PA      | $455371.04    | 0.02%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                         | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBZ2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     335000 | PA      | $271198.70    | 0.01%             | 2032-01-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3693495 | PA      | $3207826.77   | 0.13%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10060 | PA      | $10513.63     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                 | Carlyle Global Market Strategies CLO 2016-1 Ltd                                 | CUSIP: 14312HAY2<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5047966.00   | 0.21%             | 2034-04-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                                          | Rockland Park CLO Ltd                                                           | CUSIP: 773663AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2450000 | PA      | $2295373.15   | 0.10%             | 2034-04-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| STATE OF WISCONSIN INVESTMENT BOARD                            | STATE OF WISCONSIN INVESTMENT BOARD                                             | CUSIP: 000000000<br>LEI: VY0GIYI3352UC4XOP168 | Long             | RA               | CORP              | US        |   17838382 | PA      | $17838382.00  | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| IBM CORP                                                       | International Business Machines Corp                                            | CUSIP: 459200KA8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    1264000 | PA      | $1164635.33   | 0.05%             | 2029-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     417000 | PA      | $256258.00    | 0.01%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403YXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63100 | PA      | $63923.82     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31375KZR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1156.45      | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413K2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5863 | PA      | $5960.91      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                               | Triton Container International Ltd                                              | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |     482000 | PA      | $375675.69    | 0.02%             | 2031-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                            | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     961000 | PA      | $955543.86    | 0.04%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417VDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3746 | PA      | $3714.91      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QPHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352736 | PA      | $328762.83    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QS6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1274465 | PA      | $1223296.11   | 0.05%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  -12624000 | NC      | $-282579.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25242 | PA      | $26162.25     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     856000 | PA      | $785405.09    | 0.03%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407CDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34022 | PA      | $33529.45     | 0.00%             | 2035-07-01      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                         | Fresenius Medical Care US Finance III Inc                                       | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |    1237000 | PA      | $1050564.62   | 0.04%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137FELR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15827757 | PA      | $13793529.04  | 0.57%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1111000 | PA      | $912543.21    | 0.04%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407EH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6273 | PA      | $6428.35      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                          | Wells Fargo & Co                                                                | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1678000 | PA      | $1588002.80   | 0.07%             | 2025-10-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403DS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8984 | PA      | $9374.67      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| L Street Securities                                            | PMTT4                                                                           | CUSIP: 693458AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 1199013213 | PA      | $3199267.00   | 0.13%             | 2048-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214096 | PA      | $192622.05    | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128QLRW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1459.57      | 0.00%             | 2036-03-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust 2017-4                                      | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1574592 | PA      | $1536010.96   | 0.06%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11837 | PA      | $12313.02     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                                       | Northwestern Mutual Global Funding                                              | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    1611000 | PA      | $1364249.16   | 0.06%             | 2028-06-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415LR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2138 | PA      | $2180.64      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                    | OCP CLO 2021-21 Ltd                                                             | CUSIP: 671000AG2<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |    5050000 | PA      | $4676870.65   | 0.19%             | 2034-07-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                       | KLA Corp                                                                        | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    1206000 | PA      | $1127077.55   | 0.05%             | 2052-07-15      | Fixed         | 4.95%                 | 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       |     218000 | PA      | $205249.08    | 0.01%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1355000 | PA      | $1169862.11   | 0.05%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                       | Enterprise Products Operating LLC                                               | CUSIP: 29379VBM4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1087712.95   | 0.05%             | 2077-08-16      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A4KC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326788 | PA      | $2314.90      | 0.00%             | 2040-06-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47896000 | PA      | $42044929.33  | 1.74%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QST99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259356 | PA      | $241781.17    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust                  | CUSIP: 92922F2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32620794 | PA      | $38742.09     | 0.00%             | 2045-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                          | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -50495000 | NC      | $-2184785.24  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| IBM CORP                                                       | International Business Machines Corp                                            | CUSIP: 459200KU4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     758000 | PA      | $725499.73    | 0.03%             | 2032-07-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414F4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $354.62       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B22X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546498 | PA      | $495365.37    | 0.02%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                 | WFRBS Commercial Mortgage Trust 2011-C5                                         | CUSIP: 92936JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664309 | PA      | $632560.53    | 0.03%             | 2044-11-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176008 | PA      | $181048.60    | 0.01%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (TORONTO)                   | CANADIAN IMPERIAL BANK OF COMMERCE (TORONTO)                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2420000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     538000 | PA      | $521413.62    | 0.02%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BE6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2145889 | PA      | $202622.96    | 0.01%             | 2044-09-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137F95L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30176546 | PA      | $4648606.43   | 0.19%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 3620ARHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8445 | PA      | $8454.24      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 3622AAE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2742284 | PA      | $2556914.01   | 0.11%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                | CMS Energy Corp                                                                 | CUSIP: 125896BV1<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     537000 | PA      | $405738.64    | 0.02%             | 2050-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412EE36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82262 | PA      | $85089.59     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31393T7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20889 | PA      | $20831.36     | 0.00%             | 2034-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                       | Duke Energy Progress LLC                                                        | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      21000 | PA      | $17684.21     | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BC2C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9248541 | PA      | $8806405.54   | 0.36%             | 2044-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1663000 | PA      | $1592121.88   | 0.07%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13545500 | PA      | $13473539.53  | 0.56%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415R3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11557 | PA      | $11743.66     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411E2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45181 | PA      | $46894.88     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2534 | PA      | $2632.96      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138APZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127661 | PA      | $125206.82    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                        | John Deere Capital Corp                                                         | CUSIP: 24422EWL9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     740000 | PA      | $721213.26    | 0.03%             | 2032-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AGPR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147893 | PA      | $146749.32    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A5CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178227 | PA      | $176848.17    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                       | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     906000 | PA      | $889740.23    | 0.04%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                       | Enterprise Products Operating LLC                                               | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1385000 | PA      | $1347761.88   | 0.06%             | 2025-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413Y7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24760 | PA      | $25804.28     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4891523 | PA      | $4593022.11   | 0.19%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413BCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1254 | PA      | $1278.10      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413AH63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15294 | PA      | $15484.88     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                          | Wells Fargo & Co                                                                | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     370000 | PA      | $345215.76    | 0.01%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414AQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1028 | PA      | $1067.80      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411AGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26052 | PA      | $26983.54     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-247323.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31394VKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237702 | PA      | $240494.02    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AUTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24456952 | PA      | $2060708.51   | 0.09%             | 2046-12-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27524 | PA      | $27184.88     | 0.00%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27185 | PA      | $28245.58     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31386TFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $238.58       | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC                                          | Bojangles Issuer LLC                                                            | CUSIP: 09748RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2332375 | PA      | $2099064.96   | 0.09%             | 2050-10-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                         | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     181000 | PA      | $159191.55    | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36292JRE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4469 | PA      | $4508.21      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418M5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195522 | PA      | $202935.73    | 0.01%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                            | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     233000 | PA      | $191938.89    | 0.01%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31395ADQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2753520 | PA      | $186383.57    | 0.01%             | 2034-03-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128KV3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161375 | PA      | $168313.66    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37782 | PA      | $39393.79     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412WXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6849 | PA      | $7108.91      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120496 | PA      | $125194.76    | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                           | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     564000 | PA      | $460837.21    | 0.02%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                            | American Express Co                                                             | CUSIP: 025816DA4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1327000 | PA      | $1257520.35   | 0.05%             | 2033-08-03      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A74E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17624 | PA      | $17488.04     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1037000 | PA      | $975492.37    | 0.04%             | 2026-03-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38374KA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422788 | PA      | $33667.11     | 0.00%             | 2035-02-16      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410WKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $530.77       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2530459.64   | 0.10%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8QW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701134 | PA      | $673707.06    | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6E87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128377 | PA      | $133394.86    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38375A3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2726359 | PA      | $573343.73    | 0.02%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                   | GS Mortgage Securities Trust 2013-GC16                                          | CUSIP: 36248GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27754461 | PA      | $122838.47    | 0.01%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     315000 | PA      | $225798.57    | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59722 | PA      | $62267.49     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     614000 | PA      | $553396.56    | 0.02%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31397H6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2093397 | PA      | $199824.75    | 0.01%             | 2037-05-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136BFEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18890834 | PA      | $3773989.94   | 0.16%             | 2051-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JRGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257896 | PA      | $261495.38    | 0.01%             | 2035-06-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416QGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55791 | PA      | $54818.84     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORP                                       | Renesas Electronics Corp                                                        | CUSIP: 75972BAB7<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |     525000 | PA      | $450647.49    | 0.02%             | 2026-11-25      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410F3B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9988 | PA      | $10438.25     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2005-A1                                                | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3885 | PA      | $3562.91      | 0.00%             | 2035-02-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     158000 | PA      | $124411.34    | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                                           | Monongahela Power Co                                                            | CUSIP: 610202BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     830000 | PA      | $781379.08    | 0.03%             | 2027-05-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                        | Marathon Petroleum Corp                                                         | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     639000 | PA      | $536375.61    | 0.02%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312941US4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36073 | PA      | $36259.39     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                        | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1303801.96   | 0.05%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                        | BPCE SA                                                                         | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     955000 | PA      | $948107.74    | 0.04%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417UTT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6656 | PA      | $6556.39      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                  | Citigroup Mortgage Loan Trust 2007-10                                           | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     686329 | PA      | $590475.83    | 0.02%             | 2037-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398N2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3591627 | PA      | $256086.60    | 0.01%             | 2040-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10870 | PA      | $11351.23     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     582000 | PA      | $571809.58    | 0.02%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416LHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11301 | PA      | $11196.47     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73523 | PA      | $74755.98     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2012-1 A                                       | United Airlines 2012-1 Class A Pass Through Trust                               | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     363112 | PA      | $351902.81    | 0.01%             | 2024-04-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1752733.08   | 0.07%             | 2042-03-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                             | Union Pacific Corp                                                              | CUSIP: 907818GD4<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     608000 | PA      | $588132.94    | 0.02%             | 2063-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QMF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50238 | PA      | $51296.77     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38380YN27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1442804 | PA      | $1360072.31   | 0.06%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30325 | PA      | $31318.09     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412TWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14261 | PA      | $14544.75     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377LJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1073947 | PA      | $80885.37     | 0.00%             | 2040-09-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     865346 | PA      | $870351.54    | 0.04%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2JF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164040 | PA      | $162771.40    | 0.01%             | 2041-01-01      | 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      | $-30889.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ANSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12599 | PA      | $12301.67     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403JLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11671 | PA      | $11725.98     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1724000 | PA      | $1411316.14   | 0.06%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1413835.95   | 0.06%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1136000 | PA      | $911963.59    | 0.04%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD SECURITIES                                   | CANTOR FITZGERALD SECURITIES                                                    | CUSIP: 000000000<br>LEI: 549300DWZ3YOKJO5X179 | Long             | RA               | CORP              | US        |   23056100 | PA      | $23056100.00  | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411AGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7845 | PA      | $7971.98      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-194893.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ENY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1373942 | PA      | $1251677.87   | 0.05%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -153 | NC      | $333002.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36241LTG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33397 | PA      | $34208.11     | 0.00%             | 2040-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1668000 | PA      | $1599930.39   | 0.07%             | 2025-02-04      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSEF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594841 | PA      | $553545.33    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2018-1                                                 | CUSIP: 46648RBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1866015 | PA      | $1531024.16   | 0.06%             | 2048-06-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                                 | Bear Stearns ARM Trust 2005-12                                                  | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2054 | PA      | $1538.21      | 0.00%             | 2036-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38374XQG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1751563 | PA      | $168295.12    | 0.01%             | 2039-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138MDTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311280 | PA      | $291535.04    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     375000 | PA      | $338488.26    | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410CF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1193 | PA      | $1217.33      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128LCD86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38849 | PA      | $39967.02     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3658722 | PA      | $3402164.22   | 0.14%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54414 | PA      | $53992.93     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138LVC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11403 | PA      | $11229.34     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31392CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10604 | PA      | $10639.43     | 0.00%             | 2032-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                       | Duke Energy Progress LLC                                                        | CUSIP: 26442UAB0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1029000 | PA      | $866002.83    | 0.04%             | 2045-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EHW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9519 | PA      | $9445.34      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38379BSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5326085 | PA      | $290028.79    | 0.01%             | 2044-04-16      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                         | General Motors Financial Co Inc                                                 | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1027000 | PA      | $898336.08    | 0.04%             | 2027-02-26      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                        | American Electric Power Co Inc                                                  | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     663000 | PA      | $517326.47    | 0.02%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31395N2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1565265 | PA      | $145563.21    | 0.01%             | 2036-07-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                                 | New Century Home Equity Loan Trust 2005-2                                       | CUSIP: 64352VKV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29440 | PA      | $29432.91     | 0.00%             | 2035-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                                     | FHLMC-GNMA                                                                      | CUSIP: 3133T4GF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5195 | PA      | $5138.24      | 0.00%             | 2024-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                           | BlueMountain CLO XXXI Ltd                                                       | CUSIP: 09631BAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4652410.00   | 0.19%             | 2034-04-19      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                            | LCM 26 Ltd                                                                      | CUSIP: 50200FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9532400.00   | 0.39%             | 2031-01-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239599 | PA      | $248646.02    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5129 | PA      | $5312.17      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137H0TR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18359273 | PA      | $2171284.21   | 0.09%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419DJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3387 | PA      | $3311.20      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                                       | CUSIP: 83401BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2100000 | PA      | $1818124.77   | 0.08%             | 2041-01-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414RGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $452.20       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                               | Black Hills Corp                                                                | CUSIP: 092113AR0<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     583000 | PA      | $495837.94    | 0.02%             | 2029-10-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $1226095.65   | 0.05%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  -12624000 | NC      | $-763785.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co                                 | Triangle Re 2021-3 Ltd                                                          | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    6500000 | PA      | $6108362.00   | 0.25%             | 2034-02-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                   | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1137000 | PA      | $934618.81    | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                                              | ONEOK Partners LP                                                               | CUSIP: 68268NAM5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     908000 | PA      | $866140.30    | 0.04%             | 2043-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417Y4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13667 | PA      | $13561.34     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST UNIV REVENUE                                     | California State University                                                     | CUSIP: 13077CTM6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     500000 | PA      | $536191.25    | 0.02%             | 2030-11-01      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408AEG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7239 | PA      | $7461.44      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                         | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1250000 | PA      | $1210275.35   | 0.05%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377FZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1602909 | PA      | $1580599.62   | 0.07%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVALONBAY COMMUNITIES                                          | AvalonBay Communities Inc                                                       | CUSIP: 053484AD3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |     486000 | PA      | $479751.69    | 0.02%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                                 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                   | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28321 | PA      | $24155.34     | 0.00%             | 2035-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416T3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11286 | PA      | $11191.69     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                           | Entergy Arkansas LLC                                                            | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     129000 | PA      | $90231.63     | 0.00%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     645000 | PA      | $666980.12    | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ANSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474601 | PA      | $456228.34    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                        | John Deere Capital Corp                                                         | CUSIP: 24422EWE5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     484000 | PA      | $448292.10    | 0.02%             | 2029-04-18      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38375JRN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209256 | PA      | $248349.71    | 0.01%             | 2037-03-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                        | GSR Mortgage Loan Trust 2003-2F                                                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1335 | PA      | $1269.31      | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                                        | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05724BAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     277000 | PA      | $248652.57    | 0.01%             | 2026-12-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4767000 | PA      | $4182308.33   | 0.17%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411RBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17533 | PA      | $18008.21     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7616 | PA      | $7913.32      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398KAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3696335 | PA      | $329111.72    | 0.01%             | 2039-10-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC                                            | Nestle Holdings Inc                                                             | CUSIP: 641062BE3<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |     801000 | PA      | $758248.53    | 0.03%             | 2053-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2744769.48   | 0.11%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                          | Palmer Square CLO 2021-2 Ltd                                                    | CUSIP: 69701XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6589177.00   | 0.27%             | 2034-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                       | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKJ3<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1136139.64   | 0.05%             | 2027-09-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419EC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298957 | PA      | $296645.48    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2015-3                                                   | CUSIP: 81746LCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     774636 | PA      | $551526.14    | 0.02%             | 2045-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                                  | Starwood Mortgage Residential Trust 2020-1                                      | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698000 | PA      | $582099.12    | 0.02%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638916 | PA      | $637936.55    | 0.03%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398EKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39247 | PA      | $39760.51     | 0.00%             | 2038-03-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QK32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85443 | PA      | $87224.50     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410WKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16042 | PA      | $16322.98     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                         | Chubb INA Holdings Inc                                                          | CUSIP: 171239AG1<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    1338000 | PA      | $1041700.66   | 0.04%             | 2030-09-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     178000 | PA      | $120586.11    | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396TUX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469772 | PA      | $30604.28     | 0.00%             | 2036-06-15      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7428 | PA      | $7698.37      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As                                 | Chase Funding Trust Series 2003-5                                               | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106708 | PA      | $100837.11    | 0.00%             | 2033-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419BCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55323 | PA      | $54894.99     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                    | Prologis LP                                                                     | CUSIP: 74340XCB5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     388000 | PA      | $308556.34    | 0.01%             | 2032-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138LYWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382952 | PA      | $358838.97    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AKGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141388 | PA      | $140294.31    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                          | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |     143000 | PA      | $95280.82     | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                  | Commonbond Student Loan Trust 2017-B-GS                                         | CUSIP: 20268KAC4<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |     453457 | PA      | $412882.51    | 0.02%             | 2042-09-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411GSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $686.33       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38382AZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28364623 | PA      | $2956694.28   | 0.12%             | 2046-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136BLHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7162098 | PA      | $4452359.11   | 0.18%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                               | Black Hills Corp                                                                | CUSIP: 092113AH2<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1790519.89   | 0.07%             | 2023-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                               | Paramount Global                                                                | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     120000 | PA      | $92650.19     | 0.00%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31397FLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4914075 | PA      | $409089.33    | 0.02%             | 2037-03-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AEB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16232 | PA      | $15799.74     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                   | Entergy Corp                                                                    | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     417000 | PA      | $353175.32    | 0.01%             | 2030-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412N3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22812 | PA      | $22609.61     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEPOSITORY TRUST & CLEAR                                       | Depository Trust & Clearing Corp/The                                            | CUSIP: 249670AB6<br>LEI: MLDY5N6PZ58ZE60QU102 | Long             | DBT              | CORP              | US        |     813000 | PA      | $644302.50    | 0.03%             | N/A             | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     435000 | PA      | $402152.79    | 0.02%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                       | Public Service Enterprise Group Inc                                             | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    1176000 | PA      | $942848.47    | 0.04%             | 2031-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132L75E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3837852 | PA      | $3442815.31   | 0.14%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M74F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17670 | PA      | $18176.98     | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31394FFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126639 | PA      | $127080.04    | 0.01%             | 2035-07-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                           | Targa Resources Corp                                                            | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     201000 | PA      | $190724.65    | 0.01%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403DA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21851 | PA      | $23130.22     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMHERST PIERPONT SECURITIES LLC                                | AMHERST PIERPONT SECURITIES LLC                                                 | CUSIP: 000000000<br>LEI: 549300LGG2RLWD21SU97 | Long             | RA               | CORP              | US        |    3349401 | PA      | $3349401.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216268 | PA      | $226266.46    | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419EZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111561 | PA      | $110670.26    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648077 | PA      | $50775.38     | 0.00%             | 2038-05-16      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                            | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     419000 | PA      | $391961.85    | 0.02%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AEZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41611 | PA      | $41289.38     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BHVB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2261957 | PA      | $389990.84    | 0.02%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                       | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     761000 | PA      | $663159.97    | 0.03%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM 2012-CCRE4 Mortgage Trust                                                  | CUSIP: 12624QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   65166000 | PA      | $203930.48    | 0.01%             | 2045-10-15      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KPN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4301372.50   | 0.18%             | 2041-12-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                | CSL Finance PLC                                                                 | CUSIP: 12661PAD1<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     404000 | PA      | $361980.10    | 0.01%             | 2042-04-27      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     116000 | PA      | $108914.00    | 0.00%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                       | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     288000 | PA      | $221363.97    | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2005-53T2                                                | CUSIP: 12668AKU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717582 | PA      | $369433.84    | 0.02%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38374TWL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     903810 | PA      | $898805.43    | 0.04%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                          | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     471000 | PA      | $337700.83    | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53250 | PA      | $55269.60     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AFR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13896 | PA      | $13788.46     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A9TD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417073 | PA      | $90541.89     | 0.00%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                               | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     866000 | PA      | $590880.85    | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7447 | PA      | $7522.44      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                 | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2001-R1A             | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12070 | PA      | $11546.34     | 0.00%             | 2030-02-19      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280CE7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1331000 | PA      | $1250903.33   | 0.05%             | 2025-11-07      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     474000 | PA      | $495779.03    | 0.02%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1177049.45   | 0.05%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418MP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $992.99       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39554 | PA      | $41096.59     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $708.59       | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419LC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25660 | PA      | $25461.43     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LLC                                         | CITADEL SECURITIES LLC                                                          | CUSIP: 000000000<br>LEI: 12UUJYTN7D3SW8KCSG25 | Long             | RA               | CORP              | US        |   13297802 | PA      | $13297802.00  | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A8ZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114565 | PA      | $111753.24    | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                          | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     560000 | PA      | $479319.69    | 0.02%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398JUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2230133 | PA      | $241153.73    | 0.01%             | 2039-04-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6084 | PA      | $6230.98      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31292LDE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293148 | PA      | $291207.90    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                     | FedEx Corp                                                                      | CUSIP: 31428XBN5<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     678000 | PA      | $543768.12    | 0.02%             | 2047-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410XHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8593 | PA      | $8778.97      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                            | Dominion Energy Inc                                                             | CUSIP: 25746UDM8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1586000 | PA      | $1340064.47   | 0.06%             | N/A             | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 29273RBE8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     154000 | PA      | $137688.71    | 0.01%             | 2035-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411S6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1409 | PA      | $1472.08      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                       | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1161000 | PA      | $948550.92    | 0.04%             | 2046-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                             | Vodafone Group PLC                                                              | CUSIP: 92857WBT6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     477000 | PA      | $410367.71    | 0.02%             | 2059-06-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                         | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -50495000 | NC      | $-807116.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418VWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83265 | PA      | $82620.81     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412NMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113783 | PA      | $116829.18    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                    | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     575000 | PA      | $550585.98    | 0.02%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                          | CUSIP: 00083BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150721 | PA      | $901952.48    | 0.04%             | 2038-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2007-23CB                                                | CUSIP: 02151EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1536937 | PA      | $696914.62    | 0.03%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9776 | PA      | $10136.84     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                               | Black Hills Corp                                                                | CUSIP: 092113AQ2<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     272000 | PA      | $240128.43    | 0.01%             | 2033-05-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8Y24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25967 | PA      | $26944.30     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119CM9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     670000 | PA      | $536403.12    | 0.02%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412WVY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5112 | PA      | $5297.34      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WHS86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13743148 | PA      | $12775176.84  | 0.53%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     148000 | PA      | $121529.11    | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417SYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7665 | PA      | $7606.11      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BASF SE                                                        | BASF SE0 CP 0 01/03/2023                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11294587.30  | 0.47%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58986 | PA      | $61286.68     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                       | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EN6<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     912000 | PA      | $741092.36    | 0.03%             | 2031-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13422 | PA      | $12747.61     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1978696.60   | 0.08%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     779000 | PA      | $588813.51    | 0.02%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414EBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11878 | PA      | $12247.53     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AMHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1868 | PA      | $1837.53      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418UWQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205569 | PA      | $203979.81    | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31398RKF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1943274 | PA      | $175334.62    | 0.01%             | 2040-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                             | Credit Agricole SA                                                              | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     718000 | PA      | $577212.79    | 0.02%             | N/A             | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                 | S&P Global Inc                                                                  | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $882261.23    | 0.04%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                       | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAC4<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     798000 | PA      | $650986.42    | 0.03%             | 2028-08-05      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24546 | PA      | $25503.79     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137A1HA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7261407 | PA      | $263673.31    | 0.01%             | 2040-08-15      | Floating      | 0.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2735.70      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                    | Viatris Inc                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     124000 | PA      | $76829.30     | 0.00%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1184000 | PA      | $1031195.77   | 0.04%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                                        | Marathon Petroleum Corp                                                         | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     752000 | PA      | $748432.65    | 0.03%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2015000 | PA      | $1748836.86   | 0.07%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                  | Citigroup Commercial Mortgage Trust 2018-C5                                     | CUSIP: 17291DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47042042 | PA      | $1415255.14   | 0.06%             | 2051-06-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7HN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5827 | PA      | $6046.18      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371K5Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3244 | PA      | $3255.26      | 0.00%             | 2023-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                            | Dow Chemical Co/The                                                             | CUSIP: 260543CL5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     500000 | PA      | $416647.81    | 0.02%             | 2044-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                       | Vistra Operations Co LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     850000 | PA      | $835805.00    | 0.03%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3375000 | PA      | $3115168.64   | 0.13%             | 2025-12-06      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-844576.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                          | Reynolds American Inc                                                           | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     624000 | PA      | $559143.74    | 0.02%             | 2043-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312945D47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153485 | PA      | $155743.63    | 0.01%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                       | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $832958.01    | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                                       | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1661000 | PA      | $1455001.70   | 0.06%             | 2026-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                                         | Metropolitan Edison Co                                                          | CUSIP: 591894CB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     411000 | PA      | $393676.97    | 0.02%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45891 | PA      | $47509.80     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YGJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1175 | PA      | $1167.25      | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                       | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1532000 | PA      | $1032489.94   | 0.04%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                             | Raytheon Technologies Corp                                                      | CUSIP: 913017CW7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1423000 | PA      | $1298501.10   | 0.05%             | 2038-11-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                | CSL Finance PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    1168000 | PA      | $1103154.63   | 0.05%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     754000 | PA      | $663379.90    | 0.03%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A2MD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $948681.30    | 0.04%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2125000 | PA      | $1391853.22   | 0.06%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414HJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55776 | PA      | $57147.82     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                              | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     407000 | PA      | $363207.20    | 0.02%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31282YDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4807842 | PA      | $881977.19    | 0.04%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                   | UBS Group AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     750000 | PA      | $657617.94    | 0.03%             | 2027-01-30      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36297AKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43041 | PA      | $44098.48     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411CDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78749 | PA      | $81734.66     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410S7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1547 | PA      | $1576.91      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406RQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2520 | PA      | $2561.60      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138YV4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1734174 | PA      | $1669669.92   | 0.07%             | 2045-07-01      | 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      | $-318647.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2125485.60   | 0.09%             | 2041-12-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418UWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89878 | PA      | $89182.93     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3129344N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7027 | PA      | $7215.98      | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     340000 | PA      | $298743.88    | 0.01%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| NATIONAL RURAL UTIL COOP                                       | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NV3<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1244036.10   | 0.05%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                        | Shell International Finance BV                                                  | CUSIP: 822582BE1<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    1262000 | PA      | $1174688.96   | 0.05%             | 2035-05-11      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                          | American Homes 4 Rent LP                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     398000 | PA      | $335847.42    | 0.01%             | 2032-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270411 | PA      | $251638.30    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4476400 | PA      | $4306976.85   | 0.18%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                       | Madison Park Funding XLVIII Ltd                                                 | CUSIP: 55821UAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2090000 | PA      | $1995893.57   | 0.08%             | 2033-04-19      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23076 | PA      | $22534.00     | 0.00%             | 2035-09-01      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31392PPQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65260 | PA      | $66091.52     | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159617 | PA      | $156380.84    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                             | Raytheon Technologies Corp                                                      | CUSIP: 913017DB2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     118000 | PA      | $117023.38    | 0.00%             | 2023-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                                 | Chase Mortgage Finance Trust Series 2005-A1                                     | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115558 | PA      | $104785.71    | 0.00%             | 2035-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414PZS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3861.96      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                  | CUSIP: 92925GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     734769 | PA      | $632030.05    | 0.03%             | 2036-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     170000 | PA      | $152050.39    | 0.01%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $34164.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237388 | PA      | $235779.80    | 0.01%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                           | Kite Realty Group LP                                                            | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |     435000 | PA      | $401099.48    | 0.02%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                 | Wells Fargo Commercial Mortgage Trust 2021-C59                                  | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24847278 | PA      | $2086401.11   | 0.09%             | 2054-04-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA (TORONTO)                                 | ROYAL BANK OF CANADA (TORONTO)                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2440000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136ARBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15841813 | PA      | $2655960.73   | 0.11%             | 2046-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2018-4                               | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     693786 | PA      | $611669.13    | 0.03%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                               | Bellemeade RE 2021-3 Ltd                                                        | CUSIP: 078777AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $2959844.91   | 0.12%             | 2031-09-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                               | Crown Castle Inc                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     445000 | PA      | $405406.41    | 0.02%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                               | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     730000 | PA      | $675955.65    | 0.03%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                      | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78964000 | PA      | $66881170.35  | 2.77%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QR5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     881767 | PA      | $822567.12    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $976666.12    | 0.04%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                       | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1803000 | PA      | $1390906.88   | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     493000 | PA      | $394444.61    | 0.02%             | 2047-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                            | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    1839000 | PA      | $1524032.04   | 0.06%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136AUQS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986810 | PA      | $932865.62    | 0.04%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9556 | PA      | $9889.13      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                       | American Transmission Systems Inc                                               | CUSIP: 030288AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1377000 | PA      | $1257590.33   | 0.05%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31292K4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11022 | PA      | $10949.44     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                            | Global Payments Inc                                                             | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     385000 | PA      | $350012.44    | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1075000 | PA      | $1050060.51   | 0.04%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                     | Humana Inc                                                                      | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     178000 | PA      | $156405.39    | 0.01%             | 2029-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411CTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8949 | PA      | $9179.80      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-182417.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                        | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1618928 | PA      | $1364490.16   | 0.06%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396CBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3245529 | PA      | $277209.08    | 0.01%             | 2035-10-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                   | CubeSmart LP                                                                    | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |     760000 | PA      | $627776.23    | 0.03%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                             | Raytheon Technologies Corp                                                      | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2066000 | PA      | $1867667.26   | 0.08%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                   | Entergy Corp                                                                    | CUSIP: 29364GAP8<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     745000 | PA      | $593566.40    | 0.02%             | 2031-06-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                            | COMM 2020-CBM Mortgage Trust                                                    | CUSIP: 20049AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3906000 | PA      | $3308835.49   | 0.14%             | 2037-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 3620A3S88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31557 | PA      | $32148.21     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38382TKU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12370004 | PA      | $1706788.42   | 0.07%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     390000 | PA      | $326574.90    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                          | Georgia Power Co                                                                | CUSIP: 373334FS5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1314380.08   | 0.05%             | 2023-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      54300 | PA      | $51468.34     | 0.00%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411H6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4255 | PA      | $4405.22      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                     | Hasbro Inc                                                                      | CUSIP: 418056AY3<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     794000 | PA      | $745661.77    | 0.03%             | 2026-11-19      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ADJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72388 | PA      | $70544.23     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                         | Williams Cos Inc/The                                                            | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1017000 | PA      | $926745.67    | 0.04%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AF3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11208 | PA      | $10944.49     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                 | IndyMac INDX Mortgage Loan Trust 2006-AR2                                       | CUSIP: 45661EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1653783 | PA      | $1168631.95   | 0.05%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128KVTV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15277 | PA      | $15359.67     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                | Sealed Air Corp                                                                 | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $925326.16    | 0.04%             | 2026-10-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MIRAE ASSET SECURITIES (USA) INC.                              | MIRAE ASSET SECURITIES USA INC                                                  | CUSIP: 000000000<br>LEI: 25490087B4GFZLJZE912 | Long             | RA               | CORP              | US        |    7581948 | PA      | $7581948.00   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418VNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16706 | PA      | $16577.11     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371PCM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5370 | PA      | $5398.55      | 0.00%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                       | Enel Finance America LLC                                                        | CUSIP: 29280HAA0<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |     262000 | PA      | $271372.30    | 0.01%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12267 | PA      | $12820.11     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                        | Sun Communities Operating LP                                                    | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     584000 | PA      | $515948.61    | 0.02%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AXET4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180970 | PA      | $179571.01    | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1213000 | PA      | $1103671.44   | 0.05%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                       | Bear Stearns ALT-A Trust 2005-10                                                | CUSIP: 07386HZE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476480 | PA      | $443980.40    | 0.02%             | 2036-01-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136ABQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11054015 | PA      | $601450.08    | 0.02%             | 2042-03-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1886 | PA      | $1957.49      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     935000 | PA      | $928521.10    | 0.04%             | 2032-12-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                         | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     143000 | PA      | $123897.95    | 0.01%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                                 | Wells Fargo Mortgage Backed Securities 2005-AR7 Trust                           | CUSIP: 94982PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52304 | PA      | $52450.41     | 0.00%             | 2035-05-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377XVA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     778297 | PA      | $25616.40     | 0.00%             | 2026-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                       | DSLA Mortgage Loan Trust 2004-AR3                                               | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100711 | PA      | $90115.30     | 0.00%             | 2044-07-19      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $320099.08    | 0.01%             | 2050-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403K5F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7150 | PA      | $7175.94      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21578800 | PA      | $21438874.86  | 0.89%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Broad River BSL Funding CLO Lt                                 | Broad River Bsl Funding Clo Ltd 2020-1                                          | CUSIP: 11124TAN4<br>LEI: 5493000KEEYM16WOW109 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2794344.00   | 0.12%             | 2034-07-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                       | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAP9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    1059000 | PA      | $738479.62    | 0.03%             | 2040-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                           | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |    1563000 | PA      | $1175461.65   | 0.05%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-33767.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                             | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     796000 | PA      | $674957.08    | 0.03%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank                                                           | BANK 2019-BNK16                                                                 | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12277628 | PA      | $515725.47    | 0.02%             | 2052-02-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2140000 | PA      | $1624934.42   | 0.07%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411FRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19775 | PA      | $20106.99     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                     | Hasbro Inc                                                                      | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     858000 | PA      | $824955.87    | 0.03%             | 2024-11-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411JCP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459861 | PA      | $492479.74    | 0.02%             | 2038-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                  | Citigroup Mortgage Loan Trust 2005-8                                            | CUSIP: 17307GH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1032177 | PA      | $994740.91    | 0.04%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14178 | PA      | $14152.57     | 0.00%             | 2036-12-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                                       | Piedmont Operating Partnership LP                                               | CUSIP: 720198AD2<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1110721.80   | 0.05%             | 2024-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31396HWV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1673673 | PA      | $1676212.23   | 0.07%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ALLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81215 | PA      | $80586.48     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                              | Eversource Energy                                                               | CUSIP: 30040WAN8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     925000 | PA      | $812888.18    | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                    | CBOT 10 Year US Treasury Note                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -394 | NC      | $288472.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42117 | PA      | $41791.03     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411JCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145585 | PA      | $153166.66    | 0.01%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412QHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147295 | PA      | $146156.11    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17460 | PA      | $17328.37     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2005-65CB                                                | CUSIP: 12668AZ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1013664 | PA      | $719638.86    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                       | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26908668 | PA      | $1121507.52   | 0.05%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412MAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38167 | PA      | $39028.79     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | 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        |       -462 | NC      | $313536.51    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1875000 | PA      | $1516698.02   | 0.06%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                              | CBRE Services Inc                                                               | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     771000 | PA      | $609541.61    | 0.03%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                 | S&P Global Inc                                                                  | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     329000 | PA      | $253776.95    | 0.01%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                       | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CT7<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     342000 | PA      | $343718.39    | 0.01%             | 2027-11-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     643000 | PA      | $416811.90    | 0.02%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORP                                            | Northern Trust Corp                                                             | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    1983000 | PA      | $2097306.27   | 0.09%             | 2032-11-02      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AVNET INC                                                      | Avnet Inc                                                                       | CUSIP: 053807AV5<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |     410000 | PA      | $379755.92    | 0.02%             | 2032-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ANQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155844 | PA      | $153518.58    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                           | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     294000 | PA      | $272698.74    | 0.01%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| INTACT FINANCIAL CORP                                          | Intact Financial Corp                                                           | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |    1809000 | PA      | $1790371.15   | 0.07%             | 2032-09-22      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1723000 | PA      | $1457905.42   | 0.06%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3870895 | PA      | $3417509.08   | 0.14%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GA86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4346 | PA      | $4541.73      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | 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        |     477850 | PA      | $476130.62    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29850 | PA      | $30830.23     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412BFT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82810 | PA      | $85661.00     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416A4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $449.18       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                          | American Homes 4 Rent LP                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     462000 | PA      | $357558.09    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31405R5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17343 | PA      | $17917.28     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411ABC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27100 | PA      | $28321.06     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                           | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    1250000 | PA      | $1159897.55   | 0.05%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $542.32       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRETE 2021-ML08 TRUST                                          | Freddie Mac Multifamily ML Certificates                                         | CUSIP: 30318LAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10394493 | PA      | $1434800.18   | 0.06%             | 2037-07-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                             | Steel Dynamics Inc                                                              | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    1147000 | PA      | $963035.19    | 0.04%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                            | LCM 30 Ltd                                                                      | CUSIP: 50200YAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2450000 | PA      | $2244746.35   | 0.09%             | 2031-04-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3909867.56   | 0.16%             | 2025-07-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2019-LTV2                                              | CUSIP: 46651AAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17277 | PA      | $17035.46     | 0.00%             | 2049-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                       | Bear Stearns ALT-A Trust 2006-6                                                 | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     891547 | PA      | $477501.29    | 0.02%             | 2036-11-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410LM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222984 | PA      | $230174.50    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GRVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20450 | PA      | $20003.25     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A1T92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70038 | PA      | $69496.19     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                                 | Oaktown Re VII Ltd                                                              | CUSIP: 67389JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2900000 | PA      | $2523135.72   | 0.10%             | 2034-04-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                         | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     863000 | PA      | $738345.75    | 0.03%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                        | MPLX LP                                                                         | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1025086.67   | 0.04%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26897 | PA      | $27946.02     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QS6F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925653 | PA      | $863699.02    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                 | Banc of America Funding 2007-8 Trust                                            | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70439 | PA      | $54578.48     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                    | Cargill Inc                                                                     | CUSIP: 141781BX1<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     388000 | PA      | $338498.78    | 0.01%             | 2052-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5315 | PA      | $5522.66      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31383HWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.22         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                       | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAF7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    1492000 | PA      | $872411.43    | 0.04%             | 2051-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                 | SMB Private Education Loan Trust 2017-A                                         | CUSIP: 78448WAD7<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1375913.85   | 0.06%             | 2041-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                       | Capital One Financial Corp                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     476000 | PA      | $407886.13    | 0.02%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29457 | PA      | $29228.81     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412MKD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4044 | PA      | $4288.28      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1728000 | PA      | $897531.93    | 0.04%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRZE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511341 | PA      | $478601.49    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128LDA20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $346.20       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2021-HQA3                                         | CUSIP: 35564KJP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2550000 | PA      | $2252200.04   | 0.09%             | 2041-09-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QQ4G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487866 | PA      | $455620.38    | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                         | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2G5<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    1128000 | PA      | $913987.92    | 0.04%             | 2026-08-07      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31394F2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2396230 | PA      | $204491.43    | 0.01%             | 2035-10-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2018-3                               | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     883079 | PA      | $778957.80    | 0.03%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                        | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1163892.26   | 0.05%             | 2032-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AMM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51096 | PA      | $50223.00     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12408268 | PA      | $12142085.01  | 0.50%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     699000 | PA      | $759353.38    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EQB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2130370 | PA      | $2040172.47   | 0.08%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416Q6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51054 | PA      | $50659.81     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1898348 | PA      | $1560140.48   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                  | Citigroup Mortgage Loan Trust 2015-A                                            | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662380 | PA      | $625362.34    | 0.03%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                         | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $374519.41    | 0.02%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4YR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29449 | PA      | $30810.26     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                     | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     732000 | PA      | $629613.02    | 0.03%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412PPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651059 | PA      | $645608.29    | 0.03%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169412 | PA      | $177050.27    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                                     | NBN Co Ltd                                                                      | CUSIP: 62878U2D3<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     550000 | PA      | $475494.84    | 0.02%             | 2027-01-08      | Fixed         | 1.62%                 | No            |                  2 | On Loan: —       |
| XLIT LTD                                                       | XLIT Ltd                                                                        | CUSIP: 98420EAD7<br>LEI: 635400XCGXK8NVDIVE95 | Long             | DBT              | CORP              | KY        |    1750000 | PA      | $1661935.05   | 0.07%             | 2045-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                        | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     920000 | PA      | $831142.32    | 0.03%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                                 | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547215 | PA      | $498941.50    | 0.02%             | 2035-04-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                 | Benefit Street Partners CLO XVIII Ltd                                           | CUSIP: 08186PAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1949048.00   | 0.08%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414XWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10561 | PA      | $10598.88     | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                              | FNMA REMIC TRUST 2021-13                                                        | CUSIP: 3136BFPZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13349168 | PA      | $2148258.96   | 0.09%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6N61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $482.53       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      25000 | PA      | $24119.08     | 0.00%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31395MPZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409419 | PA      | $407666.45    | 0.02%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                          | DB Master Finance LLC                                                           | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     919125 | PA      | $841044.96    | 0.03%             | 2049-05-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38380YAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1260458 | PA      | $1160995.78   | 0.05%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1350000 | PA      | $1005605.96   | 0.04%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411WBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19216 | PA      | $19576.83     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ETKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     801269 | PA      | $729905.63    | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                            | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $204194.31    | 0.01%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     652000 | PA      | $541997.03    | 0.02%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                 | Barings CLO Ltd 2018-III                                                        | CUSIP: 06760PAE1<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    4393000 | PA      | $4359854.82   | 0.18%             | 2029-07-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae II Pool                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277592 | PA      | $277818.95    | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AHVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7045903 | PA      | $793699.53    | 0.03%             | 2041-11-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                     | Navient Private Education Refi Loan Trust 2018-A                                | CUSIP: 63940PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1891231.60   | 0.08%             | 2042-02-18      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                         | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     752000 | PA      | $660350.00    | 0.03%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AR2F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47651 | PA      | $47213.25     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150826 | PA      | $144875.29    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2825853 | PA      | $2426037.15   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2007-A1                                                | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41082 | PA      | $39812.45     | 0.00%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                   | AES Corp/The                                                                    | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1068000 | PA      | $949519.47    | 0.04%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | Sofi Professional Loan Program 2018-C Trust                                     | CUSIP: 78490DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     661461 | PA      | $639086.37    | 0.03%             | 2048-01-25      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EGWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96520 | PA      | $95773.87     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                            | Global Payments Inc                                                             | CUSIP: 37940XAA0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     670000 | PA      | $630895.24    | 0.03%             | 2025-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410BDV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9025 | PA      | $9224.04      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                           | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     181000 | PA      | $132673.88    | 0.01%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                                   | BBCCRE Trust 2015-GTP                                                           | CUSIP: 05490TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22800000 | PA      | $324933.06    | 0.01%             | 2033-08-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                 | Public Storage                                                                  | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |     365000 | PA      | $312053.62    | 0.01%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NBF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11286 | PA      | $11795.14     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voya Securitized Credit Fund                                   | Voya Securitized Credit Fund                                                    | CUSIP: 92913M757<br>LEI: 549300IRVV55AI1KRN67 | Long             | EC               | RF                | US        |   13944031 | NS      | $122428595.74 | 5.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDEX CORP                                                     | FedEx Corp                                                                      | CUSIP: 31428XBA3<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     361000 | PA      | $308094.88    | 0.01%             | 2035-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 31293KQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4242 | PA      | $4315.25      | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-172795.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416SSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38752 | PA      | $38452.06     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     411000 | PA      | $342457.29    | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AUN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3820441 | PA      | $464658.52    | 0.02%             | 2042-09-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136B45F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15225757 | PA      | $1649558.46   | 0.07%             | 2049-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     522555 | PA      | $519279.28    | 0.02%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                        | Flagstar Mortgage Trust 2018-1                                                  | CUSIP: 33850TBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1862602 | PA      | $1568952.64   | 0.07%             | 2048-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                        | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $983633.36    | 0.04%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                          | Evergy Kansas Central Inc                                                       | CUSIP: 95709TAQ3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    1749000 | PA      | $1217544.47   | 0.05%             | 2049-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CO 01/03/2023                                      | DUKE ENERGY CO 01/03/2023                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1499246.00   | 0.06%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BAL42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2040549 | PA      | $68381.23     | 0.00%             | 2039-07-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22592 | PA      | $23463.36     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                       | JP Morgan Mortgage Trust 2018-1                                                 | CUSIP: 46648RAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1508941 | PA      | $1263195.77   | 0.05%             | 2048-06-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Bank                                                           | Bank 2019-BNK19                                                                 | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50524631 | PA      | $2389660.97   | 0.10%             | 2061-08-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1388000 | PA      | $1147603.88   | 0.05%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EGHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $134.88       | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410WF52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2191 | PA      | $2246.05      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312926Z43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15197 | PA      | $15496.82     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11058 | PA      | $11477.80     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417KGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40066 | PA      | $39715.31     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                    | Equinor ASA                                                                     | CUSIP: 29446MAF9<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     826000 | PA      | $743582.72    | 0.03%             | 2030-04-06      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 3620A84H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8401 | PA      | $8508.69      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                | Fannie Mae Interest Strip                                                       | CUSIP: 31397VGJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2659380 | PA      | $489854.30    | 0.02%             | 2039-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30827100 | PA      | $31465317.15  | 1.30%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138WEUG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398500 | PA      | $382073.87    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409WAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30378 | PA      | $31747.11     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24470 | PA      | $24343.01     | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     399000 | PA      | $366791.56    | 0.02%             | 2038-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                       | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1136000 | PA      | $1027284.80   | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31393GYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155530 | PA      | $157973.28    | 0.01%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312946T30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38364 | PA      | $38109.69     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411E2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $527.94       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419KBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18462 | PA      | $18166.08     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NESTLE HOLDINGS INC                                            | Nestle Holdings Inc                                                             | CUSIP: 641062AL8<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |     910000 | PA      | $813194.17    | 0.03%             | 2038-09-24      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                       | Duke Energy Progress LLC                                                        | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     180000 | PA      | $151886.92    | 0.01%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409VNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15825 | PA      | $16289.73     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377DAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     987324 | PA      | $87743.02     | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396WDQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1707836 | PA      | $135454.11    | 0.01%             | 2037-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                                 | Renaissance Home Equity Loan Trust 2003-2                                       | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43635 | PA      | $40333.97     | 0.00%             | 2033-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32676000 | PA      | $32564952.57  | 1.35%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407KHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18608 | PA      | $18413.11     | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Pool                                                                | CUSIP: 3133KNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4165643 | PA      | $3551451.97   | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3129265E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5985 | PA      | $6156.96      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     116000 | PA      | $90559.44     | 0.00%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     920000 | PA      | $598610.94    | 0.02%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     854114 | PA      | $786207.72    | 0.03%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403FSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3725 | PA      | $3837.14      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412FM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $647.25       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-36341.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAN4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     824000 | PA      | $685374.34    | 0.03%             | 2042-09-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                               | BAT Capital Corp                                                                | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     483000 | PA      | $377959.52    | 0.02%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                        | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2742347.16   | 0.11%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403J7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2513 | PA      | $2524.06      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                    | GSAMP Trust 2007-FM1                                                            | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101176 | PA      | $50620.68     | 0.00%             | 2036-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                   | QUALCOMM Inc                                                                    | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1314167.56   | 0.05%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                       | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAG7<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    1322000 | PA      | $1126967.48   | 0.05%             | 2026-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412WPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5516 | PA      | $5623.80      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44821 | PA      | $45912.99     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1562000 | PA      | $1435203.59   | 0.06%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16997000 | PA      | $15954605.94  | 0.66%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2019-1                               | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     719712 | PA      | $637115.37    | 0.03%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407RY99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3324 | PA      | $3261.02      | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5905241 | PA      | $5689658.16   | 0.24%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A94S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3126386 | PA      | $334329.81    | 0.01%             | 2042-11-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                             | Seasoned Credit Risk Transfer Trust Series 2019-2                               | CUSIP: 35563PKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     924534 | PA      | $819075.37    | 0.03%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     580000 | PA      | $575312.93    | 0.02%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                           | FREMF 2019-KG01 Mortgage Trust                                                  | CUSIP: 30298CAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $2643497.74   | 0.11%             | 2029-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                                       | Banco Bilbao Vizcaya Argentaria SA                                              | CUSIP: 05946KAL5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $1002922.48   | 0.04%             | 2028-09-14      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1506000 | PA      | $1269943.58   | 0.05%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418TDX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24980 | PA      | $24787.35     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411EE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1056.33      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49737 | PA      | $49239.44     | 0.00%             | 2029-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138M1ZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4074 | PA      | $3938.36      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4917680 | PA      | $350020.79    | 0.01%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                 | Alternative Loan Trust 2005-6CB                                                 | CUSIP: 12667F5E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223439 | PA      | $1029116.51   | 0.04%             | 2035-04-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        806 | PA      | $832.48       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2193000 | PA      | $2088492.41   | 0.09%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 3136A83P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4428872 | PA      | $459123.88    | 0.02%             | 2042-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                            | Dominion Energy Inc                                                             | CUSIP: 25746UDD8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1531000 | PA      | $1347280.00   | 0.06%             | N/A             | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132GJJU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148843 | PA      | $147858.16    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                          | Texas Instruments Inc                                                           | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     577000 | PA      | $515722.68    | 0.02%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419FXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75263 | PA      | $74140.60     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A4UC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56896 | PA      | $55753.36     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                             | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    3558000 | PA      | $3327638.50   | 0.14%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775629 | PA      | $774711.52    | 0.03%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                       | Bear Stearns ALT-A Trust 2006-6                                                 | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760575 | PA      | $433520.17    | 0.02%             | 2036-11-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                 | Alleghany Corp                                                                  | CUSIP: 017175AF7<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |      69000 | PA      | $48879.54     | 0.00%             | 2051-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38379BGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5689651 | PA      | $544197.50    | 0.02%             | 2044-04-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                     | Cigna Corp                                                                      | CUSIP: 125523CK4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     271000 | PA      | $193322.54    | 0.01%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8961 | PA      | $9015.79      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                            | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1330057.40   | 0.06%             | 2042-08-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     218000 | PA      | $170224.81    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1258832 | PA      | $1301780.64   | 0.05%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31403NCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5650 | PA      | $5714.49      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                         | Mosaic Solar Loan Trust 2018-2-GS                                               | CUSIP: 61946LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     784560 | PA      | $726618.31    | 0.03%             | 2044-02-22      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                               | Credit Suisse AG                                                                | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    6000000 | PA      | $5824236.00   | 0.24%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47737 | PA      | $46882.53     | 0.00%             | 2034-02-01      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128L3V78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1859 | PA      | $1893.59      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137AY4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4748601 | PA      | $713965.43    | 0.03%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36213CYP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4760 | PA      | $4860.43      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-A                                         | Delta Air Lines 2020-1 Class A Pass Through Trust                               | CUSIP: 247361ZW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     551935 | PA      | $469472.85    | 0.02%             | 2028-06-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                              | HSBC Holdings PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     658000 | PA      | $635874.01    | 0.03%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust | CUSIP: 93934FHV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1601141 | PA      | $1305739.52   | 0.05%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418A3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4782 | PA      | $4702.63      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416RZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52352 | PA      | $51866.99     | 0.00%             | 2037-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412YCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30927 | PA      | $31441.62     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                             | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2009000 | PA      | $1969392.57   | 0.08%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GHY8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     225000 | PA      | $209027.90    | 0.01%             | 2026-02-13      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19689 | PA      | $19479.77     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410PZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55310 | PA      | $56203.86     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38378DZV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61338 | PA      | $4435.27      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Five Guys Funding, LLC                                         | Five Guys Funding LLC                                                           | CUSIP: 33830JAA3<br>LEI: 549300LV8X8T05G1H175 | Long             | ABS-O            | CORP              | US        |    3643875 | PA      | $3422118.97   | 0.14%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                       | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $1262820.06   | 0.05%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7249569 | PA      | $604505.29    | 0.03%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                       | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     339000 | PA      | $305900.45    | 0.01%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1140000 | PA      | $891698.14    | 0.04%             | 2049-11-08      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                       | Mars Inc                                                                        | CUSIP: 571676AD7<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1594709.02   | 0.07%             | 2039-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                       | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     878000 | PA      | $769229.70    | 0.03%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   12484500 | NC      | $-13075.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A7ZJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35952 | PA      | $35354.63     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortg                                 | CSWF 2021-SOP2                                                                  | CUSIP: 12657VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2736000 | PA      | $2456486.69   | 0.10%             | 2034-06-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EJYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.79        | 0.00%             | 2025-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                               | BAT Capital Corp                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    2362000 | PA      | $1964193.61   | 0.08%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   12484500 | NC      | $-11787.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419CQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17490 | PA      | $17354.59     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2164000 | PA      | $1770959.71   | 0.07%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                                        | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     439207 | PA      | $355740.69    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137H4J27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24155851 | PA      | $4349956.62   | 0.18%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY INVESTMENT MANAGEMENT INC.                      | USD CALL VERSUS CNH PUT                                                         | CUSIP: 000000000<br>LEI: 6N8SC06AK49F0N7KIX52 | N/A              | DFE              | CORP              | US        |   55042000 | NC      | $15862.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                         | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCB4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    1215000 | PA      | $991585.37    | 0.04%             | 2082-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31407PLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $366.24       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63255 | PA      | $64680.36     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418AAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232588 | PA      | $230788.95    | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                        | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     202000 | PA      | $160292.20    | 0.01%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                                 | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                           | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160815 | PA      | $150148.17    | 0.01%             | 2036-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD (NEW YORK)                                     | MIZUHO BANK LTD (NEW YORK)                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2430000 | PA      | $2430000.00   | 0.10%             | 2023-01-03      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31396KKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216224 | PA      | $5975.14      | 0.00%             | 2026-08-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140GTF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94645 | PA      | $93004.07     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413A6W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46535 | PA      | $48296.62     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38383D3T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28265874 | PA      | $4661701.26   | 0.19%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                                 | Popular ABS Mortgage Pass-Through Trust 2005-D                                  | CUSIP: 73316PHP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266149 | PA      | $259592.94    | 0.01%             | 2036-01-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5WX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46596 | PA      | $48412.99     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                   | RFM Reremic Trust 2022-FRR1                                                     | CUSIP: 74971BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $296932.84    | 0.01%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                               | Triton Container International Ltd                                              | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |     830000 | PA      | $721721.09    | 0.03%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                         | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     586000 | PA      | $640106.60    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                                 | Renaissance Home Equity Loan Trust 2005-3                                       | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     819264 | PA      | $804805.67    | 0.03%             | 2035-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8516 | PA      | $8858.31      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31414CFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4541 | PA      | $4608.44      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                          | Texas Instruments Inc                                                           | CUSIP: 882508BP8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     389000 | PA      | $361847.05    | 0.01%             | 2032-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through                                  | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364095 | PA      | $380064.43    | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31359WKH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146943 | PA      | $147521.25    | 0.01%             | 2029-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1119000 | PA      | $786027.70    | 0.03%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31408FE47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2171 | PA      | $2206.07      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                      | Apple Inc                                                                       | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     838000 | PA      | $556670.19    | 0.02%             | 2051-02-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                          | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      14000 | PA      | $12145.67     | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QRSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554621 | PA      | $516695.00    | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HP INC                                                         | HP Inc                                                                          | CUSIP: 40434LAM7<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     550000 | PA      | $534610.76    | 0.02%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| ROGERS COMMUNICATIONS IN                                       | Rogers Communications Inc                                                       | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     257000 | PA      | $222475.60    | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412PMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10005 | PA      | $9918.58      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1166000 | PA      | $1066891.34   | 0.04%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                          | Reynolds American Inc                                                           | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     385000 | PA      | $348784.46    | 0.01%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     159000 | PA      | $145690.51    | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416XP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57974 | PA      | $57011.64     | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140XH5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9714139 | PA      | $8284742.67   | 0.34%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                         | CHL Mortgage Pass-Through Trust 2004-22                                         | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1287508 | PA      | $1163476.24   | 0.05%             | 2034-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                    | Target Corp                                                                     | CUSIP: 87612EBP0<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1153820.23   | 0.05%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411JF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7283 | PA      | $7610.98      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9771 | PA      | $9467.34      | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                               | Connecticut Avenue Securities Trust 2021-R03                                    | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1388019.30   | 0.06%             | 2041-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1417000 | PA      | $916456.65    | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                 | Amazon.com Inc                                                                  | CUSIP: 023135CA2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $1755393.56   | 0.07%             | 2041-05-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416WT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19265 | PA      | $19115.60     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     537000 | PA      | $444145.11    | 0.02%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411LK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41797 | PA      | $43681.44     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1543000 | PA      | $1227221.41   | 0.05%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AUL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200774 | PA      | $198645.04    | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                             | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1554000 | PA      | $1371880.79   | 0.06%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                      | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-223190.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31397QRC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1465506 | PA      | $145167.21    | 0.01%             | 2041-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128L1WN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20770 | PA      | $21510.79     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                         | Sequoia Mortgage Trust 2015-2                                                   | CUSIP: 81733YEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614550 | PA      | $503512.13    | 0.02%             | 2045-05-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410EZ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11784 | PA      | $11979.52     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31376KR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480586 | PA      | $497210.59    | 0.02%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41336000 | PA      | $40483445.00  | 1.68%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| REALTY INCOME CORP                                             | Realty Income Corp                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     167000 | PA      | $159485.69    | 0.01%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                 | Bear Stearns Asset Backed Securities Trust 2006-SD4                             | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     564324 | PA      | $549163.78    | 0.02%             | 2036-10-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                    | Oracle Corp                                                                     | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     429000 | PA      | $461460.34    | 0.02%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219828 | PA      | $228168.71    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                        | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1021384.79   | 0.04%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV                                 | Octagon Investment Partners XV Ltd                                              | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3817632.00   | 0.16%             | 2030-07-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                   | AES Corp/The                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     880000 | PA      | $780208.00    | 0.03%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M44X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5987 | PA      | $6181.42      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412LEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4675 | PA      | $4885.72      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132QNKH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2024652 | PA      | $1886624.97   | 0.08%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                       | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $389296.73    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                               | Freddie Mac Strips                                                              | CUSIP: 31325WRT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5361835 | PA      | $443332.04    | 0.02%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                                    | Corning Inc                                                                     | CUSIP: 219350BQ7<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |     588000 | PA      | $510784.19    | 0.02%             | 2079-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                          | American Homes 4 Rent LP                                                        | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     298000 | PA      | $219725.14    | 0.01%             | 2052-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140EXEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292639 | PA      | $262327.63    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12999 | PA      | $12912.41     | 0.00%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31416PPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $318.22       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25214 | PA      | $25693.00     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288VRT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $50.75        | 0.00%             | 2024-06-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4011100 | PA      | $3518486.78   | 0.15%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265530 | PA      | $263476.70    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371MCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7467 | PA      | $7731.93      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31411G6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7510 | PA      | $7717.28      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                   | Comcast Corp                                                                    | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     596000 | PA      | $609747.72    | 0.03%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30232 | PA      | $31545.06     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SunRun Athena Issuer                                           | Sunrun Athena Issuer 2018-1 LLC                                                 | CUSIP: 86772DAA4<br>LEI: 5493001ZI15Y2FZFMI30 | Long             | ABS-O            | CORP              | US        |    1813580 | PA      | $1666428.20   | 0.07%             | 2049-04-30      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419AHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47476 | PA      | $49616.86     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24469 | PA      | $23379.90     | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31397YZE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4682139 | PA      | $399125.64    | 0.02%             | 2037-08-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 31395PBA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     514514 | PA      | $516020.12    | 0.02%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38382AWQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     592096 | PA      | $8099.70      | 0.00%             | 2049-11-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31371NJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22529 | PA      | $22446.63     | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     446000 | PA      | $340521.17    | 0.01%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3560.39      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31409AVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $410.82       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP                                         | Hartford Financial Services Group Inc/The                                       | CUSIP: 416515AS3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     340000 | PA      | $340081.27    | 0.01%             | 2036-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410KNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30954 | PA      | $32098.28     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410VDU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19277 | PA      | $20118.00     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voya Emerging Markets Hard Currency Debt Fund                  | Voya Emerging Markets Hard Currency Debt Fund                                   | CUSIP: 92913M401<br>LEI: 549300SMBQ3OC2DD8W64 | Long             | EC               | RF                | US        |   15745288 | NS      | $115885318.48 | 4.80%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                       | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     479000 | PA      | $364957.61    | 0.02%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     851000 | PA      | $729741.60    | 0.03%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419DM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55706 | PA      | $55275.65     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                                     | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1347500 | PA      | $1236108.51   | 0.05%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                        | Jersey Central Power & Light Co                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     289000 | PA      | $234139.64    | 0.01%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138AJG97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77890 | PA      | $77287.83     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A2JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2059 | PA      | $2043.27      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                  | Commonbond Student Loan Trust 2018-BGS                                          | CUSIP: 20268MAC0<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |     539074 | PA      | $505731.53    | 0.02%             | 2045-09-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410MRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $343.89       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A7ZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73097 | PA      | $71576.17     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                    | Viatris Inc                                                                     | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     553000 | PA      | $433528.53    | 0.02%             | 2030-06-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                       | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     900000 | PA      | $883455.71    | 0.04%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| WASTE MGMT INC 02/06/2023                                      | WASTE MGMT INC 02/06/2023                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5472655.82   | 0.23%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ADVANCED MICRO DEVICES                                         | Advanced Micro Devices Inc                                                      | CUSIP: 007903BG1<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |    1658000 | PA      | $1465847.83   | 0.06%             | 2052-06-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415THV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14630 | PA      | $15134.93     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC Trust 2022-FRR3                                                    | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3030000 | PA      | $2084959.67   | 0.09%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ADVANCED MICRO DEVICES                                         | Advanced Micro Devices Inc                                                      | CUSIP: 007903BF3<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |    1716000 | PA      | $1599525.54   | 0.07%             | 2032-06-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                              | Eversource Energy                                                               | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $986727.72    | 0.04%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QFZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18849724 | PA      | $16257607.40  | 0.67%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597444 | PA      | $573439.92    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                  | Citigroup Commercial Mortgage Trust 2017-P8                                     | CUSIP: 17326DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34309298 | PA      | $1074901.74   | 0.04%             | 2050-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                           | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     512000 | PA      | $529545.46    | 0.02%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae REMICS                                                               | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192647 | PA      | $1165586.91   | 0.05%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3046300 | PA      | $2441799.84   | 0.10%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789744 | PA      | $739922.95    | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                       | Rogers Communications Inc                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     588000 | PA      | $458591.83    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38374UNM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     821544 | PA      | $822398.94    | 0.03%             | 2039-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31368HMQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49790 | PA      | $51615.93     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Government National Mortgage Association                                        | CUSIP: 38377LBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3342942 | PA      | $303139.65    | 0.01%             | 2040-08-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC                                   | Triton Container Finance VIII LLC                                               | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1191750 | PA      | $995983.57    | 0.04%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                         | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     980000 | PA      | $903270.55    | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31406NCF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51143 | PA      | $50057.48     | 0.00%             | 2035-04-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413RLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5751 | PA      | $5843.86      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                       | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     333000 | PA      | $348613.45    | 0.01%             | 2033-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137B8W86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4670174 | PA      | $368312.81    | 0.02%             | 2044-03-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EJQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77806 | PA      | $72907.36     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                     | GAM RE-REMIC TRUST 2021-FRR2                                                    | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1817000 | PA      | $991940.27    | 0.04%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                     | Cigna Corp                                                                      | CUSIP: 125523AV2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2195000 | PA      | $2115659.03   | 0.09%             | 2025-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31413LZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61047 | PA      | $63020.72     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                      | Mylan Inc                                                                       | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     884000 | PA      | $661647.08    | 0.03%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29959 | PA      | $31016.56     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 6174468Y8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     983000 | PA      | $609414.42    | 0.03%             | 2052-01-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138ANG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52720 | PA      | $52052.36     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac REMICS                                                              | CUSIP: 3137BAA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     731609 | PA      | $103843.67    | 0.00%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 312933MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4031 | PA      | $4001.92      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL                                          | TotalEnergies Capital Canada Ltd                                                | CUSIP: 89153UAF8<br>LEI: 5299005IX98ZZ9LSGK46 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $1975208.82   | 0.08%             | 2023-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                | CSL Finance PLC                                                                 | CUSIP: 12661PAE9<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     668000 | PA      | $607164.44    | 0.03%             | 2052-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419A4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11925 | PA      | $12424.17     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31415LQ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47543 | PA      | $49130.79     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                      | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     768000 | PA      | $762810.47    | 0.03%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31412GWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12958 | PA      | $13183.72     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36296QZD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68757 | PA      | $70204.71     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31419FMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21024 | PA      | $20861.45     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                                 | First Horizon Mortgage Pass-Through Trust 2005-AR3                              | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19169 | PA      | $13236.63     | 0.00%             | 2035-08-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                       | CSX Corp                                                                        | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     763000 | PA      | $666624.29    | 0.03%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                       | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     725000 | PA      | $632348.47    | 0.03%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                    | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4M67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6402 | PA      | $6652.55      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                 | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1117000 | PA      | $859630.98    | 0.04%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                   | AGL CLO 12 Ltd                                                                  | CUSIP: 00120BAG5<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1854548.00   | 0.08%             | 2034-07-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138EHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $3024.02      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                             | Santos Finance Ltd                                                              | CUSIP: 803014AA7<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     584000 | PA      | $464745.76    | 0.02%             | 2031-04-29      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3138A9XL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258038 | PA      | $256042.83    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                 | Sofi Professional Loan Program 2017-C LLC                                       | CUSIP: 83405DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2330215.25   | 0.10%             | 2040-07-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                               | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     198000 | PA      | $179815.79    | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4856632 | PA      | $4581030.64   | 0.19%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                     | Fannie Mae Pool                                                                 | CUSIP: 31418RHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415888 | PA      | $411477.46    | 0.02%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT                                       | American Airlines 2017-2 Class AA Pass Through Trust                            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93800 | PA      | $81201.06     | 0.00%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                 | Ginnie Mae I Pool                                                               | CUSIP: 36295PZ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77604 | PA      | $79065.85     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Voya Intermediate Bond Portfolio

**Signature:** Tin Bui

**Name of Signer:** Tin Bui

**Title:** Vice President