# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-23-020426
**Filing Date:** 2023-2
**Character Count:** 710025
**Document Hash:** d05f1357cdf31ccf29ccf6fd6b704b07
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-020426.hdr.sgml**: 20230208

**ACCESSION NUMBER**: 0001752724-23-020426

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230208

**DATE AS OF CHANGE**: 20230208

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036
- **IRS NUMBER:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 23598321

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP Western Asset Core Bond Fund (Series ID: S000054411)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000170901 | Standard Class |  |
| C000170902 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP Western Asset Core Bond Fund

- **b. EDGAR series identifier (if any):** S000054411

- **c. LEI of Series:** 549300U47Z5JZVUKHE71

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2246387392.34

**Total Liabilities:** $355371769.04

**Net Assets:** $1891015623.30

**Delayed Delivery Securities:** $302216881.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2699.22000000 | **1-Year:** -51939.35000000 | **5-Year:** -168742.51000000 | **10-Year:** -229876.40000000 | **30-Year:** -157474.57000000

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

- **3-Month:** -123.12000000 | **1-Year:** -3547.18000000 | **5-Year:** -143380.61000000 | **10-Year:** -16928.93000000 | **30-Year:** -10255.10000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000170902 | -1.67%               | 4.77%                | -0.83%               |
| Class ID C000170901 | -1.66%               | 4.79%                | -0.81%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-25414010.17            | $-11906467.95                              |
| Month 2  | $-1437345.38             | $76811466.77                               |
| Month 3  | $-705272.57              | $-19136434.08                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6960000 | PA      | $6969787.50   | 0.37%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504476 | PA      | $412765.88    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC Trust 2018-J1 Trust                                                                                          | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4075939 | PA      | $3571007.61   | 0.19%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                         | Whitebox Clo II Ltd                                                                                               | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2029633.20   | 0.11%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                                             | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    260000 | PA      | $247535.84    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                                                | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    690000 | PA      | $590283.73    | 0.03%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                                            | HGI CRE CLO 2021-FL1 Ltd                                                                                          | CUSIP: 40441LAA4<br>LEI: 549300VYJ293N0KO2L78 | Long             | ABS-CBDO         | CORP              | KY        |   3120259 | PA      | $3014930.56   | 0.16%             | 2036-06-16      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3920000 | PA      | $3457868.77   | 0.18%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4050736.33   | 0.21%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2924788.59   | 0.15%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                      | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     38000 | PA      | $27294.94     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    420000 | PA      | $371152.08    | 0.02%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NatWest Group PLC                                                                                                 | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1090000 | PA      | $1065887.91   | 0.06%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271206 | PA      | $231847.90    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262105 | PA      | $226260.90    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658003 | PA      | $562765.77    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                       | Colombia Government International Bond                                                                            | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   2740000 | PA      | $1864038.14   | 0.10%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6798119 | PA      | $156192.89    | 0.01%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71160000 | PA      | $38295754.51  | 2.03%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752600 | PA      | $661903.21    | 0.04%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5600000 | PA      | $5144245.23   | 0.27%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235241.17    | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457321 | PA      | $391846.83    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                    | Becton Dickinson and Co                                                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    453000 | PA      | $404880.54    | 0.02%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                                               | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    430000 | PA      | $405450.72    | 0.02%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1041593.06   | 0.06%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7282223 | PA      | $6951732.48   | 0.37%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MGQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194970 | PA      | $179088.65    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189084 | PA      | $122598.44    | 0.01%             | 2057-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1284659.66   | 0.07%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4912352.81   | 0.26%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                    | Equate Petrochemical BV                                                                                           | CUSIP: 29441WAD7<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |   2630000 | PA      | $2288100.00   | 0.12%             | 2028-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4795704 | PA      | $333496.16    | 0.02%             | 2063-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15364649 | PA      | $376370.92    | 0.02%             | 2031-09-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537431 | PA      | $505309.96    | 0.03%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450124 | PA      | $441915.43    | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $379896.00    | 0.02%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                     | Natixis Commercial Mortgage Securities Trust 2019-FAME                                                            | CUSIP: 63873VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32225000 | PA      | $474132.87    | 0.03%             | 2036-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405090 | PA      | $341751.51    | 0.02%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1752757 | PA      | $1562412.18   | 0.08%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2021-7                                                                                   | CUSIP: 03464JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958334 | PA      | $751466.69    | 0.04%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610887 | PA      | $583943.81    | 0.03%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                              | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2530000 | PA      | $2303732.59   | 0.12%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                                          | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    130000 | PA      | $103271.30    | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3155600 | PA      | $2436540.52   | 0.13%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                            | Impac CMB Trust Series 2007-A                                                                                     | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1496476 | PA      | $1397552.64   | 0.07%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2055896.40   | 0.11%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848162 | PA      | $730587.71    | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620400 | PA      | $575577.12    | 0.03%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1590000 | PA      | $1561370.67   | 0.08%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Student Loan Trust 2004-3                                                                                     | CUSIP: 78442GLK0<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   3407307 | PA      | $3269418.43   | 0.17%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93517 | PA      | $79768.45     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Loan Trust 2014-A                                                                       | CUSIP: 63939CAD9<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $2988548.21   | 0.16%             | 2031-10-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                                                    | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    550000 | PA      | $520201.45    | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12190060 | PA      | $10410064.59  | 0.55%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                | Workday Inc                                                                                                       | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    540000 | PA      | $495422.21    | 0.03%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1302919.67   | 0.07%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12800000 | PA      | $12003047.30  | 0.63%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1341168.25   | 0.07%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $85694.02     | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $93498.24     | 0.00%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                                      | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1173864.81   | 0.06%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257003 | PA      | $210935.15    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503369 | PA      | $436214.56    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2442320 | PA      | $1948426.66   | 0.10%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $966622.69    | 0.05%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1216038 | PA      | $33460.38     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                                           | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3120292 | PA      | $2662912.65   | 0.14%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    260000 | PA      | $179382.66    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                                                        | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    910000 | PA      | $799364.23    | 0.04%             | 2030-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                       | Colombia Government International Bond                                                                            | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1190000 | PA      | $883234.35    | 0.05%             | 2031-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331950 | PA      | $285277.86    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                      | Petroleos del Peru SA                                                                                             | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   2790000 | PA      | $2156391.00   | 0.11%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                   | Intercontinental Exchange Inc                                                                                     | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2200072.62   | 0.12%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    620000 | PA      | $596218.29    | 0.03%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170524 | PA      | $147614.80    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1399645 | PA      | $1232865.35   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                                              | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9947.85      | 0.00%             | 2023-05-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5190000 | PA      | $4575949.61   | 0.24%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    400000 | PA      | $339494.74    | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272444 | PA      | $242806.87    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174475 | PA      | $150020.17    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                          | Chile Government International Bond                                                                               | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   1220000 | PA      | $759562.95    | 0.04%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                                | MetLife Inc                                                                                                       | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1547360.00   | 0.08%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-4                                                                        | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2181728 | PA      | $2018711.80   | 0.11%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214499 | PA      | $177043.93    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    950000 | PA      | $779179.44    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                                           | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    539000 | PA      | $513856.88    | 0.03%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                      | Time Warner Cable LLC                                                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495986.06    | 0.03%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                                 | Blackbird Capital Aircraft                                                                                        | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039145 | PA      | $852462.67    | 0.05%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884613 | PA      | $776697.40    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                                                  | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $791363.27    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2864634 | PA      | $196467.49    | 0.01%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                                | NP SPE X LP                                                                                                       | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2235504 | PA      | $1888942.40   | 0.10%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                     | Barrick North America Finance LLC                                                                                 | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1767641.39   | 0.09%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188098.15    | 0.01%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198380 | PA      | $192527.79    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                 | JPMBB Commercial Mortgage Securities Trust 2015-C33                                                               | CUSIP: 46645JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1708522.46   | 0.09%             | 2048-12-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                                             | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54740.19     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541431 | PA      | $484620.70    | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743381 | PA      | $635494.79    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                                                          | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $846839.94    | 0.04%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | SOFR 1YR MIDCURVE JAN23P 95.62                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       757 | NC      | $99356.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BMW US Capital LLC                                         | BMW US Capital LLC                                                                                                | CUSIP: 05565EAH8<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    644000 | PA      | $601638.01    | 0.03%             | 2026-04-11      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    390000 | PA      | $379174.84    | 0.02%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                           | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3250000 | PA      | $3060363.15   | 0.16%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215600 | PA      | $1086593.44   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700094 | PA      | $600174.29    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1192747 | PA      | $1116400.99   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    580000 | PA      | $561033.23    | 0.03%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408747 | PA      | $402804.61    | 0.02%             | 2068-07-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $198907.32    | 0.01%             | 2032-11-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227324 | PA      | $218254.31    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218422 | PA      | $203702.72    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    678000 | PA      | $633844.89    | 0.03%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2360000 | PA      | $1715640.75   | 0.09%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    120000 | PA      | $98645.79     | 0.01%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2022-CRE6 Trust                                                                                             | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2319674 | PA      | $2215176.12   | 0.12%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2296140 | PA      | $146318.29    | 0.01%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $854185.78    | 0.05%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    610000 | PA      | $591179.67    | 0.03%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                                          | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2040000 | PA      | $1887714.82   | 0.10%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791651 | PA      | $1731775.66   | 0.09%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401779 | PA      | $343508.34    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482447 | PA      | $436183.53    | 0.02%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC24                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       780 | NC      | $279587.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115896.79    | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315488 | PA      | $261569.82    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    690000 | PA      | $641689.06    | 0.03%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074468 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074468 IRS USD P F  2.50000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   8030000 | OU      | $1076095.24   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371687 | PA      | $303044.57    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $822580.28    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                    | Metropolitan Life Global Funding I                                                                                | CUSIP: 59217GEH8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1602941.63   | 0.08%             | 2023-06-08      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    720000 | PA      | $656504.19    | 0.03%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184162 | PA      | $151091.60    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $480381.56    | 0.03%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                            | Danske Bank A/S                                                                                                   | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    350000 | PA      | $327559.44    | 0.02%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                                                                           | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    780000 | PA      | $763550.17    | 0.04%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $1884070.43   | 0.10%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108736 | PA      | $105710.55    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160121.59    | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356961 | PA      | $330858.69    | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                                  | Apple Inc                                                                                                         | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    500000 | PA      | $424531.64    | 0.02%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2821541 | PA      | $2641884.98   | 0.14%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                       | OHA Loan Funding 2013-2 Ltd                                                                                       | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $2014365.36   | 0.11%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494959 | PA      | $444420.28    | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                        | LCM XVIII LP                                                                                                      | CUSIP: 50188QAJ0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |    109955 | PA      | $109531.15    | 0.01%             | 2027-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    750000 | PA      | $683881.01    | 0.04%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                      | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $2316088.85   | 0.12%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2787392.82   | 0.15%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454462 | PA      | $410031.63    | 0.02%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    760000 | PA      | $580510.80    | 0.03%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $837124.93    | 0.04%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46442 | PA      | $41625.38     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318499 | PA      | $284882.61    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    230000 | PA      | $216639.79    | 0.01%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Loan Trust 2020-A                                                                       | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1573428 | PA      | $1436740.13   | 0.08%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3612302 | PA      | $2922658.90   | 0.15%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    800000 | PA      | $530597.46    | 0.03%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2749521 | PA      | $179682.30    | 0.01%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95199.10     | 0.01%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                             | Microsoft Corp                                                                                                    | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2921000 | PA      | $1922161.04   | 0.10%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513095 | PA      | $504967.63    | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128122 | PA      | $118962.95    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $284684.93    | 0.02%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2670000 | PA      | $2496862.41   | 0.13%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2267264.27   | 0.12%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424275 | PA      | $377691.41    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                                       | CUSIP: 931142EQ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105073.00    | 0.01%             | 2029-09-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond - WI Reopening                                                                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4130000 | PA      | $4043528.13   | 0.21%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                      | Costco Wholesale Corp                                                                                             | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1068535.49   | 0.06%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    590000 | PA      | $541467.09    | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3713926 | PA      | $3443106.80   | 0.18%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761108 | PA      | $624810.43    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EFS Volunteer No 2 LLC                                     | EFS Volunteer No 2 LLC                                                                                            | CUSIP: 26845BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1863371 | PA      | $1843109.91   | 0.10%             | 2036-03-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                             | Halliburton Co                                                                                                    | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    290000 | PA      | $256779.46    | 0.01%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465734 | PA      | $429818.51    | 0.02%             | 2047-11-16      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3816000 | PA      | $2416899.39   | 0.13%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1845449.68   | 0.10%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1360289 | PA      | $49088.74     | 0.00%             | 2067-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $493478.09    | 0.03%             | 2032-11-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                           | Coca-Cola Co/The                                                                                                  | CUSIP: 191216DC1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    140000 | PA      | $90579.99     | 0.00%             | 2051-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                 | Cigna Corp                                                                                                        | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2440017.89   | 0.13%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                            | Venture 32 CLO Ltd                                                                                                | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1724892.75   | 0.09%             | 2031-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718994 | PA      | $577576.76    | 0.03%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                          | L3Harris Technologies Inc                                                                                         | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    580000 | PA      | $540431.95    | 0.03%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1756279 | PA      | $234482.37    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                                                        | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   4330000 | PA      | $3562703.35   | 0.19%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78192 | PA      | $64538.25     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    350000 | PA      | $330533.76    | 0.02%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                         | Raytheon Technologies Corp                                                                                        | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    980000 | PA      | $957401.95    | 0.05%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    360000 | PA      | $335326.17    | 0.02%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                | Hertz Vehicle Financing III LP                                                                                    | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2420000 | PA      | $1995486.02   | 0.11%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                         | BX Trust 2019-OC11                                                                                                | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $956906.99    | 0.05%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                                     | CUSIP: 172967JP7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3940827.89   | 0.21%             | 2025-04-27      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175418 | PA      | $155314.21    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192006.72    | 0.01%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                                              | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112012.80    | 0.01%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                             | Microsoft Corp                                                                                                    | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17693.66     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    510000 | PA      | $503417.12    | 0.03%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1593977.41   | 0.08%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    920000 | PA      | $769599.58    | 0.04%             | 2030-03-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95565 | PA      | $78607.86     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                   | OCP SA                                                                                                            | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   1257000 | PA      | $1223402.90   | 0.06%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement Financing Trust              | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                                                    | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2780491.80   | 0.15%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31419ANL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37137 | PA      | $38560.25     | 0.00%             | 2039-01-01      | 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        |    770000 | PA      | $657082.74    | 0.03%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    670145 | PA      | $642525.73    | 0.03%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    140000 | PA      | $112254.67    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                              | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    820000 | PA      | $750571.82    | 0.04%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    430000 | PA      | $354631.66    | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $729017.69    | 0.04%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31417FBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10873 | PA      | $11121.02     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    200000 | PA      | $153016.44    | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                      | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    409000 | PA      | $356797.39    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1214741 | PA      | $163483.26    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 31329J6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155451 | PA      | $152393.80    | 0.01%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10190 | PA      | $9988.72      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                   | Cooperatieve Rabobank UA                                                                                          | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   3000000 | PA      | $2928157.26   | 0.15%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                           | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4680000 | PA      | $4549735.01   | 0.24%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31416BNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371822 | PA      | $383263.44    | 0.02%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $951581.14    | 0.05%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $6447117.14   | 0.34%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1260000 | PA      | $1101796.52   | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                      | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1176000 | PA      | $1128041.67   | 0.06%             | 2026-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    330000 | PA      | $237700.85    | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2022-1                                                                              | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3861174 | PA      | $3498438.94   | 0.19%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                 | 3M Co                                                                                                             | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    310000 | PA      | $237296.67    | 0.01%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276731 | PA      | $246693.79    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1220374 | PA      | $1093693.79   | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                      | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    302000 | PA      | $270637.95    | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649198 | PA      | $555177.07    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6196287 | PA      | $171899.24    | 0.01%             | 2028-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162626 | PA      | $155469.83    | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5174378 | PA      | $4955998.91   | 0.26%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM5 Trust                                                                                              | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1049623 | PA      | $808216.47    | 0.04%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1760000 | PA      | $1582625.00   | 0.08%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                               | Ecopetrol SA                                                                                                      | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   4070000 | PA      | $2832958.01   | 0.15%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2297905.25   | 0.12%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252989 | PA      | $208407.16    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1090209.36   | 0.06%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2018-4 Ltd                                                                                               | CUSIP: 92917WBG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3928532.00   | 0.21%             | 2032-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493571 | PA      | $67769.98     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2016-3                                                                        | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    909986 | PA      | $816543.81    | 0.04%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                                                       | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $660486.38    | 0.03%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129622 | PA      | $1164381.57   | 0.06%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equate Petrochemical BV                                    | Equate Petrochemical BV                                                                                           | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |   2120000 | PA      | $2025176.64   | 0.11%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841289 | PA      | $752839.07    | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    748432 | PA      | $624491.02    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137720 | PA      | $131053.32    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1212460 | PA      | $1167967.52   | 0.06%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                         | Panama Government International Bond                                                                              | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1540000 | PA      | $1111581.24   | 0.06%             | 2053-04-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15290000 | PA      | $10097969.96  | 0.53%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Fannie Mae Connecticut Avenue Securities                                                                          | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096485 | PA      | $1149527.92   | 0.06%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Trust 2010-C1                                                                              | CUSIP: 36249KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437000 | PA      | $418028.96    | 0.02%             | 2043-08-10      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1005634.19   | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                 | Cigna Corp                                                                                                        | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    920000 | PA      | $828930.87    | 0.04%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2017-4                                                                                  | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543293 | PA      | $502020.59    | 0.03%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                      | Indonesia Government International Bond                                                                           | CUSIP: 455780CN4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    950000 | PA      | $729724.53    | 0.04%             | 2049-10-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1925579 | PA      | $268967.61    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                                    | CBAM 2017-1 Ltd                                                                                                   | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |   3986974 | PA      | $3944907.76   | 0.21%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996048 | PA      | $869653.57    | 0.05%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2014-USA OA LLC                                                                                              | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   7380000 | PA      | $6183106.43   | 0.33%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235064 | PA      | $194700.11    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                           | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    370000 | PA      | $245076.36    | 0.01%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279590 | PA      | $227863.71    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2022-LBA6                                                                                                | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2135505.32   | 0.11%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78360 | PA      | $67760.06     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2004274.10   | 0.11%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                         | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                                                              | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    756246 | PA      | $693919.45    | 0.04%             | 2037-01-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99296 | PA      | $93588.42     | 0.00%             | 2032-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2018-3 Ltd                                                                                               | CUSIP: 92917KAA2<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2048072.00   | 0.11%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94496 | PA      | $80818.05     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    750000 | PA      | $704751.71    | 0.04%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95029.49     | 0.01%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                      | Mexico Government International Bond                                                                              | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   6230000 | PA      | $5024963.12   | 0.27%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1190142 | PA      | $991434.39    | 0.05%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152869 | PA      | $144515.08    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                     | Credit Suisse Group AG                                                                                            | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1110000 | PA      | $766950.55    | 0.04%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                     | Merrill Lynch Mortgage Investors Trust Series 2005-A8                                                             | CUSIP: 59020UQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172105 | PA      | $169776.28    | 0.01%             | 2036-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190412.42    | 0.01%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442830 | PA      | $395221.34    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2138130 | PA      | $322300.18    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $2400229.22   | 0.13%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust 2017-5                                                                                   | CUSIP: 46590YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4171253 | PA      | $4048987.69   | 0.21%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                         | Raytheon Technologies Corp                                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    750000 | PA      | $624107.87    | 0.03%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742596 | PA      | $662263.43    | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2022-NQM1 Trust                                                                                               | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060298 | PA      | $3474355.28   | 0.18%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                        | Midocean Credit Clo VII                                                                                           | CUSIP: 59801WAR7<br>LEI: 5493004MLF21SFT7F415 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1670187.75   | 0.09%             | 2029-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1446435.48   | 0.08%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                   | Uruguay Government International Bond                                                                             | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    520000 | PA      | $516505.85    | 0.03%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1942883 | PA      | $1903865.40   | 0.10%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                                                             | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1530000 | PA      | $1492640.15   | 0.08%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                   | Intercontinental Exchange Inc                                                                                     | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279860.76    | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770603 | PA      | $683580.35    | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1438859.19   | 0.08%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                      | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1730000 | PA      | $1655568.12   | 0.09%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                      | Mexico Government International Bond                                                                              | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   4570000 | PA      | $3359713.37   | 0.18%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    750000 | PA      | $800267.42    | 0.04%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $955810.06    | 0.05%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LUKOIL CAPITAL DAC                                         | Lukoil Capital DAC                                                                                                | CUSIP: 549875AB8<br>LEI: 984500BEC55D7EHC4M56 | Long             | DBT              | CORP              | IE        |   2670000 | PA      | $1881015.00   | 0.10%             | 2031-10-26      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3G50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94277 | PA      | $77185.58     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429146 | PA      | $1388893.02   | 0.07%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    530000 | PA      | $488695.59    | 0.03%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345230 | PA      | $294007.22    | 0.02%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                | Workday Inc                                                                                                       | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2392217.03   | 0.13%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19099 | PA      | $17510.83     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4561767 | PA      | $3744012.33   | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315512 | PA      | $260417.17    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                       | Whitebox CLO III Ltd                                                                                              | CUSIP: 96467HAA4<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   2580000 | PA      | $2512207.92   | 0.13%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464695 | PA      | $397397.90    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                          | EOG Resources Inc                                                                                                 | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1188999.35   | 0.06%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       272 | NC      | $-280589.69   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363730 | PA      | $318987.17    | 0.02%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT JUN23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      -369 | NC      | $86600.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                                     | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     60000 | PA      | $73738.90     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Connecticut Avenue Securities Trust 2022-R03                                                                      | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1012289.60   | 0.05%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2020-NQM1 Trust                                                                                               | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985254 | PA      | $866538.10    | 0.05%             | 2049-08-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    990000 | PA      | $781673.70    | 0.04%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    590000 | PA      | $541122.48    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                       | Colombia Government International Bond                                                                            | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   3190000 | PA      | $2339458.24   | 0.12%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $92834.74     | 0.00%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1284562.16   | 0.07%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1790000 | PA      | $1692277.49   | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558567 | PA      | $76182.69     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                   | American Transmission Systems Inc                                                                                 | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $262611.73    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198351 | PA      | $195608.13    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8648745 | PA      | $8060148.07   | 0.43%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | State of Israel                                                                                                   | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1600000 | PA      | $1250640.00   | 0.07%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1080000 | PA      | $991589.23    | 0.05%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                             | Golub Capital Partners Clo 57M Ltd                                                                                | CUSIP: 38179AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3960000 | PA      | $3748064.76   | 0.20%             | 2034-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1052458.70   | 0.06%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                                        | Silver Rock CLO I Ltd                                                                                             | CUSIP: 82811RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2680000 | PA      | $2645026.00   | 0.14%             | 2031-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129534 | PA      | $147997.34    | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $102582.76    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827904 | PA      | $683336.83    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589580 | PA      | $65396.96     | 0.00%             | 2041-12-15      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39680000 | PA      | $25218500.20  | 1.33%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                                                              | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    300000 | PA      | $237331.50    | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5607319 | PA      | $5047209.61   | 0.27%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR FUT OPTN FEB23C 114                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       151 | NC      | $47187.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                                                 | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   3665000 | PA      | $3164426.93   | 0.17%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186076 | PA      | $177582.95    | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                                                 | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    750000 | PA      | $763537.06    | 0.04%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                      | Reynolds American Inc                                                                                             | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    200000 | PA      | $170359.38    | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBE1<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1074488.44   | 0.06%             | 2029-08-16      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                                                 | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    890000 | PA      | $793989.94    | 0.04%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1375919 | PA      | $1231554.23   | 0.07%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                                                 | CUSIP: 404280AW9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    710000 | PA      | $686741.57    | 0.04%             | 2026-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66299 | PA      | $60214.02     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                      | Costco Wholesale Corp                                                                                             | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    130000 | PA      | $106504.65    | 0.01%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                     | Tennessee Gas Pipeline Co LLC                                                                                     | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2360000 | PA      | $1976724.22   | 0.10%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                           | Duke Energy Corp                                                                                                  | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    320000 | PA      | $295267.83    | 0.02%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4688299.70   | 0.25%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                                                 | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1810000 | PA      | $1667979.54   | 0.09%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044105 | PA      | $935620.46    | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Connecticut Avenue Securities Trust 2021-R01                                                                      | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1169409.84   | 0.06%             | 2041-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236711 | PA      | $1225990.29   | 0.06%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311370 | PA      | $256994.38    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2016-3 Ltd                                                                                               | CUSIP: 92915HAL7<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $737990.25    | 0.04%             | 2031-10-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507443 | PA      | $1346678.77   | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                                                  | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    330000 | PA      | $291224.79    | 0.02%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                                    | Mid-Atlantic Interstate Transmission LLC                                                                          | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $197613.44    | 0.01%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563116 | PA      | $481611.94    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2240000 | PA      | $1916676.52   | 0.10%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                                   | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1011659.33   | 0.05%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744431 | PA      | $767882.13    | 0.04%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                        | Otis Worldwide Corp                                                                                               | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    400000 | PA      | $374248.92    | 0.02%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-1                                                                        | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423516 | PA      | $2257840.65   | 0.12%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191975 | PA      | $992204.68    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Private Credit Student Loan Trust 2005-B                                                                      | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |   1038066 | PA      | $984348.16    | 0.05%             | 2039-06-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                                                | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   3560000 | PA      | $3363291.42   | 0.18%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                               | Hardee's Funding LLC                                                                                              | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2984550 | PA      | $2379172.83   | 0.13%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                                       | Zais Clo 13 Ltd                                                                                                   | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |    980000 | PA      | $960638.14    | 0.05%             | 2032-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                                            | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    260000 | PA      | $203921.77    | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188076 | PA      | $126010.72    | 0.01%             | 2040-09-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356436 | PA      | $332600.58    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                                       | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   2700000 | PA      | $2086830.00   | 0.11%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12972 | PA      | $12436.82     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171783.46    | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NatWest Group PLC                                                                                                 | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2580000 | PA      | $2556018.87   | 0.14%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10995557 | PA      | $252936.30    | 0.01%             | 2032-08-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    874000 | PA      | $841073.75    | 0.04%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301468 | PA      | $248729.10    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2016-3                                                                                  | CUSIP: 89172YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1021396.43   | 0.05%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649834 | PA      | $622748.16    | 0.03%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1908654.80   | 0.10%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                              | UBS AG/London                                                                                                     | CUSIP: 902674XN5<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $168388.81    | 0.01%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 31307XB76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28975 | PA      | $27224.72     | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4850000 | PA      | $302704.51    | 0.02%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    650000 | PA      | $508496.86    | 0.03%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1126134 | PA      | $1074429.74   | 0.06%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675991 | PA      | $649272.96    | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $162265.97    | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                    | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                                                    | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123784 | PA      | $1008104.71   | 0.05%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904492 | PA      | $734553.21    | 0.04%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                                               | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    500000 | PA      | $410750.59    | 0.02%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                          | EOG Resources Inc                                                                                                 | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1693558.95   | 0.09%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825868 | PA      | $766197.84    | 0.04%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253552 | PA      | $229218.98    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    980000 | PA      | $800317.30    | 0.04%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774231 | PA      | $681142.98    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                                | PNC Bank NA                                                                                                       | CUSIP: 20453KAA3<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    892000 | PA      | $867518.69    | 0.05%             | 2025-04-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4887532 | PA      | $4346905.89   | 0.23%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                     | Bank of New York Mellon Corp/The                                                                                  | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    500000 | PA      | $464596.02    | 0.02%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2860000 | PA      | $2603533.39   | 0.14%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                                           | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2650000 | PA      | $1738760.37   | 0.09%             | 2052-01-12      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                     | Orbia Advance Corp SAB de CV                                                                                      | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |   1650000 | PA      | $1425187.50   | 0.08%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524154 | PA      | $488844.25    | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3400000 | PA      | $3446584.66   | 0.18%             | 2053-02-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2879544.61   | 0.15%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487100 | PA      | $70548.56     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363659 | PA      | $308732.08    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                             | Morgan Stanley Capital I Trust 2019-BPR                                                                           | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3033681 | PA      | $3005253.42   | 0.16%             | 2036-05-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94561 | PA      | $77625.59     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246514 | PA      | $1221856.80   | 0.06%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640000 | PA      | $598063.74    | 0.03%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $1931587.37   | 0.10%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                                                               | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $990335.39    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270313 | PA      | $245980.04    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                                                        | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $676122.15    | 0.04%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-HY2                                                                                | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1155383.75   | 0.06%             | 2058-05-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362157 | PA      | $1163230.28   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92998 | PA      | $87417.30     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2994882 | PA      | $68292.90     | 0.00%             | 2027-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                       | Grippen Park CLO Ltd                                                                                              | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |   1817342 | PA      | $1800488.08   | 0.10%             | 2030-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                                        | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    210000 | PA      | $188061.71    | 0.01%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                      | Texas Instruments Inc                                                                                             | CUSIP: 882508BF0<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    300000 | PA      | $264248.95    | 0.01%             | 2039-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2346136 | PA      | $2014562.19   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68556 | PA      | $64127.10     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3538 | PA      | $3545.92      | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.                                    | Catskill Park CLO Ltd                                                                                             | CUSIP: 149420AE1<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1466601.00   | 0.08%             | 2029-04-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                           | Bank of Montreal                                                                                                  | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1670000 | PA      | $1559954.70   | 0.08%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $142046.28    | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-6                                                                        | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4938906 | PA      | $4579342.11   | 0.24%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5019438 | PA      | $4152100.71   | 0.22%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396135 | PA      | $337725.42    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2473517 | PA      | $142336.82    | 0.01%             | 2034-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                    | Shell International Finance BV                                                                                    | CUSIP: 822582CD2<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $172849.01    | 0.01%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                       | Colombia Government International Bond                                                                            | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    890000 | PA      | $606166.41    | 0.03%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215773 | PA      | $993455.52    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                                                        | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1780246.89   | 0.09%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                        | Abbott Laboratories                                                                                               | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    484000 | PA      | $471187.39    | 0.02%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180167 | PA      | $154732.80    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    890000 | PA      | $705356.36    | 0.04%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                   | Canadian Pacific Railway Co                                                                                       | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    880000 | PA      | $663430.21    | 0.04%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                     | Credit Suisse AG/New York NY                                                                                      | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   2050000 | PA      | $1868469.16   | 0.10%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-SOAR                                                                            | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1677294 | PA      | $1614477.14   | 0.09%             | 2038-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                          | NatWest Group PLC                                                                                                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    620000 | PA      | $586620.42    | 0.03%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115384 | PA      | $107987.00    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                   | Comision Federal de Electricidad                                                                                  | CUSIP: 200447AD2<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    380000 | PA      | $376010.00    | 0.02%             | 2024-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $3385673.08   | 0.18%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                                            | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    650000 | PA      | $462038.12    | 0.02%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                                          | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    850000 | PA      | $783123.29    | 0.04%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172474 | PA      | $141717.45    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                                          | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    460000 | PA      | $450917.60    | 0.02%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| KREF 2022-Fl3 Ltd                                          | KREF 2022-FL3 Ltd                                                                                                 | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4536802.43   | 0.24%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3110101 | PA      | $2782435.94   | 0.15%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175770 | PA      | $152639.93    | 0.01%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346543 | PA      | $323409.64    | 0.02%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6784625 | PA      | $344495.44    | 0.02%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 87 CLO Ltd                                                                                                 | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3610000 | PA      | $3523107.30   | 0.19%             | 2034-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161753 | PA      | $132235.51    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                   | Lloyds Banking Group PLC                                                                                          | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1410000 | PA      | $1350117.44   | 0.07%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153303 | PA      | $145886.50    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                | PepsiCo Inc                                                                                                       | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    190000 | PA      | $154541.14    | 0.01%             | 2030-05-01      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp Trust 2013-PEMB                                                                       | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4504472.50   | 0.24%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888364 | PA      | $348138.87    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1106000 | PA      | $1052765.69   | 0.06%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2095827.44   | 0.11%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93693 | PA      | $79792.05     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1040000 | PA      | $813031.19    | 0.04%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100000 | PA      | $979758.53    | 0.05%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                         | Credit Agricole SA                                                                                                | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    550000 | PA      | $479219.18    | 0.03%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                                              | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1361891.65   | 0.07%             | 2024-04-29      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                                                  | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    580000 | PA      | $524468.80    | 0.03%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    440000 | PA      | $409242.74    | 0.02%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Temasek Financial I Ltd                                    | Temasek Financial I Ltd                                                                                           | CUSIP: 87973PAC8<br>LEI: 549300XMGMDF3VRJMF12 | Long             | DBT              | CORP              | SG        |    368000 | PA      | $367591.95    | 0.02%             | 2023-01-23      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                        | Carrier Global Corp                                                                                               | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     90000 | PA      | $64174.96     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SWS074401 IRS USD R F  2.77000 2 CCPOIS / Short: SWS074401 IRS USD P V 00MSOFR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  51925000 | OU      | $-1604636.72  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1128882.36   | 0.06%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259227 | PA      | $248457.01    | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10634 | PA      | $9924.41      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99456 | PA      | $96296.21     | 0.01%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98930 | PA      | $93355.65     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                         | Galton Funding Mortgage Trust 2017-1                                                                              | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103869 | PA      | $92457.18     | 0.00%             | 2056-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10314 | PA      | $9889.96      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                         | Wendy's Funding LLC                                                                                               | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   4757550 | PA      | $3840884.30   | 0.20%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $180412.78    | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                            | Chevron USA Inc                                                                                                   | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1563432.44   | 0.08%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-XL2                                                                             | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5597359 | PA      | $5380735.58   | 0.28%             | 2038-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                                                             | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4280000 | PA      | $4567894.11   | 0.24%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154110 | PA      | $950431.76    | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                      | Mexico Government International Bond                                                                              | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   4720000 | PA      | $3777268.03   | 0.20%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    550000 | PA      | $537657.98    | 0.03%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                                               | CUSIP: 71654QBX9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2710000 | PA      | $1577625.96   | 0.08%             | 2046-01-23      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    310000 | PA      | $197909.33    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    980000 | PA      | $864936.99    | 0.05%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR Clo 32 Ltd                                                                                                    | CUSIP: 48254HAA2<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1086243.40   | 0.06%             | 2032-01-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507549 | PA      | $106559.32    | 0.01%             | 2046-09-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CF0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $939733.82    | 0.05%             | 2045-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88646 | PA      | $79790.10     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                          | Newell Brands Inc                                                                                                 | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    460000 | PA      | $432765.82    | 0.02%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    420000 | PA      | $386475.00    | 0.02%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                                         | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $665157.23    | 0.04%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705461 | PA      | $654499.59    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3170000 | PA      | $3138311.22   | 0.17%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $249612.25    | 0.01%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    840000 | PA      | $839712.64    | 0.04%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1509948 | PA      | $1249030.31   | 0.07%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  11520000 | PA      | $11314997.45  | 0.60%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258429 | PA      | $240734.37    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                                       | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2139147.81   | 0.11%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956502 | PA      | $150756.22    | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                                        | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    260000 | PA      | $168348.83    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30409 | PA      | $29947.53     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp Trust 2021-ROSS                                                                       | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3664344.06   | 0.19%             | 2026-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                           | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    520000 | PA      | $459043.23    | 0.02%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                                                    | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    150000 | PA      | $130938.00    | 0.01%             | 2030-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851806 | PA      | $749149.46    | 0.04%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3986942 | PA      | $3435432.57   | 0.18%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    390000 | PA      | $369827.19    | 0.02%             | 2027-03-13      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                                    | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $881903.57    | 0.05%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1972621.91   | 0.10%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301112 | PA      | $247411.40    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489177 | PA      | $401941.23    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294177 | PA      | $1138197.87   | 0.06%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS060863 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS060863 IRS USD P F  1.13000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  46436000 | OU      | $6006037.35   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    390000 | PA      | $377426.31    | 0.02%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3161000 | PA      | $3098099.20   | 0.16%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SWS075366 IRS USD R F  3.50000 2 CCPOIS / Short: SWS075366 IRS USD P V 00MSOFR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  60698000 | OU      | $-1091507.25  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    490000 | PA      | $467344.63    | 0.02%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Pertamina Persero PT                                       | Pertamina Persero PT                                                                                              | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   1790000 | PA      | $1706019.04   | 0.09%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2171997 | PA      | $1806759.89   | 0.10%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074427 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074427 IRS USD P F  2.60000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  21535000 | OU      | $1094282.94   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119282 | PA      | $102322.88    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                   | Uruguay Government International Bond                                                                             | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   4130000 | PA      | $4046731.48   | 0.21%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1732529.40   | 0.09%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141220 | PA      | $137592.01    | 0.01%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    210000 | PA      | $187174.45    | 0.01%             | 2026-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 75 CLO Ltd                                                                                                 | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |   1410000 | PA      | $1366292.82   | 0.07%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84018 | PA      | $69346.91     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859221 | PA      | $789227.91    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Basswood Park CLO Ltd                                      | Basswood Park CLO Ltd                                                                                             | CUSIP: 070252AA9<br>LEI: 5493005HSAGIQZIVAS94 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1947588.00   | 0.10%             | 2034-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                   | Mars Inc                                                                                                          | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $928930.64    | 0.05%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67783.36     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | 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        |   3800000 | PA      | $3454485.84   | 0.18%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                          | Johnson & Johnson                                                                                                 | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $688031.70    | 0.04%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS063123 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS063123 IRS USD P F  1.22000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  18512000 | OU      | $2310764.29   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                | NVIDIA Corp                                                                                                       | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1004162.44   | 0.05%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                           | Triumph Rail Holdings LLC                                                                                         | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2018901 | PA      | $1719714.61   | 0.09%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1832520.00   | 0.10%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                        | Bank of Nova Scotia/The                                                                                           | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2120000 | PA      | $2040155.31   | 0.11%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89340 | PA      | $79807.51     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                     | SLC Student Loan Trust 2008-1                                                                                     | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |   1905384 | PA      | $1884357.40   | 0.10%             | 2032-12-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Bank                                                       | BANK 2018-BNK14                                                                                                   | CUSIP: 06035RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160000 | PA      | $1802437.92   | 0.10%             | 2060-09-15      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                 | Cigna Corp                                                                                                        | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    901000 | PA      | $895054.07    | 0.05%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    220000 | PA      | $198585.42    | 0.01%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2014-CCRE20 Mortgage Trust                                                                                   | CUSIP: 12592LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402000 | PA      | $386772.48    | 0.02%             | 2047-11-10      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                 | Humana Inc                                                                                                        | CUSIP: 444859BG6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43883.95     | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263893 | PA      | $226375.02    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13700000 | PA      | $9828679.76   | 0.52%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567557 | PA      | $508709.40    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                           | BAT Capital Corp                                                                                                  | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2722414.46   | 0.14%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2021-C                                                                           | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1035360.70   | 0.05%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482558 | PA      | $415663.81    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193127 | PA      | $179342.51    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                                            | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1614271.39   | 0.09%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    910000 | PA      | $835612.01    | 0.04%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                     | Credit Suisse AG/New York NY                                                                                      | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    980000 | PA      | $882003.51    | 0.05%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362013 | PA      | $311271.53    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Danone SA                                                  | Danone SA                                                                                                         | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |   1160000 | PA      | $1135837.04   | 0.06%             | 2023-11-02      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                      | Texas Instruments Inc                                                                                             | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    550000 | PA      | $452139.21    | 0.02%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     90000 | PA      | $65915.10     | 0.00%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753057 | PA      | $719231.05    | 0.04%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1518597.12   | 0.08%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693001 | PA      | $625486.12    | 0.03%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chubb INA Holdings Inc                                     | Chubb INA Holdings Inc                                                                                            | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    590000 | PA      | $564783.25    | 0.03%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                         | Panama Government International Bond                                                                              | CUSIP: 698299BG8<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    880000 | PA      | $675861.77    | 0.04%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2013-CCRE6 Mortgage Trust                                                                                    | CUSIP: 12624XAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $752993.72    | 0.04%             | 2046-03-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3580000 | PA      | $2833304.44   | 0.15%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2084402.58   | 0.11%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                                       | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    230000 | PA      | $187178.03    | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143149 | PA      | $14397.56     | 0.00%             | 2037-08-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236957 | PA      | $202987.90    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                         | Raytheon Technologies Corp                                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    480000 | PA      | $459411.69    | 0.02%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96903 | PA      | $88797.36     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1230095.59   | 0.07%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796CT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15000000 | PA      | $14822170.80  | 0.78%             | 2023-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $288747.71    | 0.02%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                   | Province of British Columbia Canada                                                                               | CUSIP: 11070TAK4<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   1445000 | PA      | $1346509.93   | 0.07%             | 2026-06-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                              | SBA Small Business Investment Cos                                                                                 | CUSIP: 831641FL4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    535992 | PA      | $505756.99    | 0.03%             | 2028-09-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Student Loan Trust 2016-3                                                                                 | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1931660 | PA      | $1905718.78   | 0.10%             | 2065-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383988 | PA      | $315507.52    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                         | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   1300000 | PA      | $1248000.00   | 0.07%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5700000 | PA      | $5394536.66   | 0.29%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $481160.69    | 0.03%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                         | Banco Santander SA                                                                                                | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $994659.25    | 0.05%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105089.87    | 0.01%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    910000 | PA      | $848668.28    | 0.04%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      2103 | NC      | $-1226771.28  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178023 | PA      | $170180.83    | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                            | Cameron LNG LLC                                                                                                   | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2463657.84   | 0.13%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $693648.95    | 0.04%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                                     | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  11160000 | PA      | $10640037.30  | 0.56%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464825 | PA      | $404678.08    | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574130 | PA      | $491025.69    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288362.70    | 0.02%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7706051 | PA      | $1004145.41   | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    117000 | PA      | $112264.76    | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                                               | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    290000 | PA      | $272952.56    | 0.01%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2982703 | PA      | $2739736.36   | 0.14%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3293887.39   | 0.17%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                   | OHA Credit Funding 7 Ltd                                                                                          | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2450000 | PA      | $2390575.25   | 0.13%             | 2037-02-24      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2014-CCRE20 Mortgage Trust                                                                                   | CUSIP: 12592LBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580000 | PA      | $1477328.60   | 0.08%             | 2047-11-10      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117646.53    | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853961 | PA      | $751045.29    | 0.04%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2253901.27   | 0.12%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23200000 | PA      | $21072623.10  | 1.11%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641329 | PA      | $538503.80    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5389881 | PA      | $374910.45    | 0.02%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    640000 | PA      | $622353.47    | 0.03%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129183 | PA      | $965754.12    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1312434.41   | 0.07%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2014-CCRE16 Mortgage Trust                                                                                   | CUSIP: 12591VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774000 | PA      | $749424.42    | 0.04%             | 2047-04-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492339 | PA      | $447497.61    | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25253.27     | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                       | Lockheed Martin Corp                                                                                              | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    240000 | PA      | $229020.17    | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8251695 | PA      | $7925583.97   | 0.42%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                     | NXP BV / NXP Funding LLC / NXP USA Inc                                                                            | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    250000 | PA      | $235307.90    | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344641 | PA      | $1223593.86   | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67706.78     | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                     | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    310000 | PA      | $242897.94    | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                     | Orbia Advance Corp SAB de CV                                                                                      | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |   1560000 | PA      | $1218750.00   | 0.06%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                     | Canadian Imperial Bank of Commerce                                                                                | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    840000 | PA      | $824322.22    | 0.04%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36202D6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       816 | PA      | $814.05       | 0.00%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                                 | Eaton Corp                                                                                                        | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $880217.62    | 0.05%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442274 | PA      | $378560.47    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440560 | PA      | $417192.69    | 0.02%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1001936.10   | 0.05%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1032227 | PA      | $984512.07    | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                                        | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  44787041 | NS      | $44787040.65  | 2.37%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796CU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  27770000 | PA      | $27410256.87  | 1.45%             | 2023-04-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                   | Comision Federal de Electricidad                                                                                  | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    910000 | PA      | $688293.41    | 0.04%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381459 | PA      | $315556.43    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1725148.90   | 0.09%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279464 | PA      | $288118.18    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    770000 | PA      | $610510.79    | 0.03%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161256.69    | 0.01%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS053223 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS053223 IRS USD P F  1.52000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  12385000 | OU      | $3688075.65   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS075267 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075267 IRS USD P F  2.51000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  10935000 | OU      | $1489872.54   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                                      | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    380000 | PA      | $222093.63    | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                 | Cigna Corp                                                                                                        | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $928032.77    | 0.05%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                          | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2280000 | PA      | $1995647.77   | 0.11%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                 | 3M Co                                                                                                             | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |   2510000 | PA      | $2128829.82   | 0.11%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                   | Visa Inc                                                                                                          | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2336921.16   | 0.12%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                | PepsiCo Inc                                                                                                       | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65016.08     | 0.00%             | 2027-03-19      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    310000 | PA      | $236392.72    | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2015-C26                                                                    | CUSIP: 94989CAZ4<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |   7640000 | PA      | $7239489.04   | 0.38%             | 2048-02-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                    | GSK Consumer Healthcare Capital US LLC                                                                            | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    840000 | PA      | $782002.87    | 0.04%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $271870.75    | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284896 | PA      | $243661.62    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    470000 | PA      | $364666.64    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                    | Walt Disney Co/The                                                                                                | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    460000 | PA      | $520948.46    | 0.03%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502156 | PA      | $2459717.12   | 0.13%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209537 | PA      | $172851.15    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    990000 | PA      | $648633.16    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2022-3                                                                                   | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1983207 | PA      | $1875483.75   | 0.10%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1892228 | PA      | $1619470.36   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74806.33     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642187 | PA      | $572488.16    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     -1974 | NC      | $2127482.32   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $8470216.63   | 0.45%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1550000 | PA      | $1477412.91   | 0.08%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                             | HPS Loan Management 2021-16 Ltd                                                                                   | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2240000 | PA      | $2176883.52   | 0.12%             | 2035-01-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709316 | PA      | $74300.48     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3021693 | PA      | $2811577.08   | 0.15%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1230508.43   | 0.07%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1390362.07   | 0.07%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $141030.82    | 0.01%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    610000 | PA      | $531887.80    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    730000 | PA      | $724816.34    | 0.04%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99393 | PA      | $97488.22     | 0.01%             | 2070-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                                              | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1606824.56   | 0.08%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Waste Management Inc                                       | Waste Management Inc                                                                                              | CUSIP: 94106LBD0<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    960000 | PA      | $950571.73    | 0.05%             | 2023-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455344 | PA      | $394600.30    | 0.02%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1551271 | PA      | $1267954.63   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379364 | PA      | $335421.83    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    760000 | PA      | $646542.01    | 0.03%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                   | OBX 2021-NQM3 Trust                                                                                               | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240912 | PA      | $944721.92    | 0.05%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2148001 | PA      | $2110308.52   | 0.11%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                                        | 522 Funding CLO 2020-6 Ltd                                                                                        | CUSIP: 33835AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1943398.00   | 0.10%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10080000 | PA      | $9569306.28   | 0.51%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1046068 | PA      | $1006888.56   | 0.05%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189335 | PA      | $173871.46    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                         | STWD 2022-FL3 Ltd                                                                                                 | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2860000 | PA      | $2739418.40   | 0.14%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                                                    | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686000 | PA      | $582277.07    | 0.03%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO Ltd                          | Hildene Community Funding CDO Ltd                                                                                 | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |   2580000 | PA      | $2143549.14   | 0.11%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798052 | PA      | $791133.26    | 0.04%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                      | Northrop Grumman Corp                                                                                             | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   4450000 | PA      | $4381870.50   | 0.23%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397396 | PA      | $52654.38     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                   | Cerberus Loan Funding XXVIII LP                                                                                   | CUSIP: 15673EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    698334 | PA      | $690130.24    | 0.04%             | 2031-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    210000 | PA      | $181389.11    | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EQ7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375646 | PA      | $387361.55    | 0.02%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                             | Golub Capital Partners Clo 25M Ltd                                                                                | CUSIP: 38175NAA6<br>LEI: 254900XWTZJ46JGSP919 | Long             | ABS-CBDO         | CORP              | KY        |   3022893 | PA      | $2975249.23   | 0.16%             | 2030-05-05      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                    | Procter & Gamble Co/The                                                                                           | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    490000 | PA      | $447674.94    | 0.02%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                                            | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1820000 | PA      | $1181734.48   | 0.06%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41770 | PA      | $37238.40     | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $962835.65    | 0.05%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    980000 | PA      | $808576.81    | 0.04%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                                   | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2390000 | PA      | $2145132.29   | 0.11%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567241 | PA      | $502616.26    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300306 | PA      | $246751.00    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    720000 | PA      | $634925.52    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49039 | PA      | $46035.10     | 0.00%             | 2043-02-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72928 | PA      | $62630.02     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2262706.23   | 0.12%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                        | Bank of Nova Scotia/The                                                                                           | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    860000 | PA      | $787943.69    | 0.04%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539497 | PA      | $462631.97    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573691 | PA      | $1284664.41   | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                               | ARES XLIV CLO Ltd                                                                                                 | CUSIP: 04016NAM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2850000 | PA      | $2775937.05   | 0.15%             | 2034-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5300000 | PA      | $5140950.55   | 0.27%             | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138XLXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4757 | PA      | $4645.12      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                               | Voya CLO 2017-3 Ltd                                                                                               | CUSIP: 92915QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1483540.02   | 0.08%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                         | Panama Government International Bond                                                                              | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1230000 | PA      | $1281106.78   | 0.07%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538490 | PA      | $517002.40    | 0.03%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918444 | PA      | $862547.51    | 0.05%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074849 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074849 IRS USD P F  2.62000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7813000 | OU      | $920781.35    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                                                       | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   2050000 | PA      | $1831410.47   | 0.10%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $2607989.84   | 0.14%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM1                                                                                                    | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4007552 | PA      | $3440641.01   | 0.18%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132M8NU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15460 | PA      | $14662.50     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5522150 | PA      | $5116150.51   | 0.27%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2013-GC11                                                                     | CUSIP: 17320DAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6259385 | PA      | $164.00       | 0.00%             | 2046-04-10      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9857.64      | 0.00%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                    | Procter & Gamble Co/The                                                                                           | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149800.06    | 0.01%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                            | Deere & Co                                                                                                        | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1021013.23   | 0.05%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1403220.19   | 0.07%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    630000 | PA      | $500521.90    | 0.03%             | 2046-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186681 | PA      | $159892.20    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778602 | PA      | $1521173.41   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93303 | PA      | $77891.98     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    610000 | PA      | $523041.19    | 0.03%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193824 | PA      | $176937.42    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3565409 | PA      | $481141.66    | 0.03%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $166835.63    | 0.01%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                                          | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    430000 | PA      | $349304.44    | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                       | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    290000 | PA      | $261591.60    | 0.01%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    550000 | PA      | $449306.04    | 0.02%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797652 | PA      | $663639.21    | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1305102.19   | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust 2018-4                                                                                   | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362445 | PA      | $314460.87    | 0.02%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $740905.19    | 0.04%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565278 | PA      | $483455.26    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875223 | PA      | $752358.24    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                     | SLM Private Credit Student Loan Trust 2006-A                                                                      | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    901217 | PA      | $848062.21    | 0.04%             | 2039-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746814 | PA      | $713010.75    | 0.04%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124501 | PA      | $101860.13    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229835 | PA      | $21960.49     | 0.00%             | 2043-12-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2021-AFC2 Trust                                                                                             | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102876 | PA      | $896707.26    | 0.05%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318151 | PA      | $273948.18    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM8                                                                                                    | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4233900 | PA      | $3549064.66   | 0.19%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3180563.44   | 0.17%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242047 | PA      | $216231.82    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1535651.65   | 0.08%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82968 | PA      | $77391.80     | 0.00%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187678 | PA      | $161897.39    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1156927.78   | 0.06%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1040702 | PA      | $930926.54    | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1732145 | PA      | $1417705.17   | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286936 | PA      | $251852.83    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1112877.19   | 0.06%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    690000 | PA      | $549379.53    | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $190305.88    | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                 | JPMDB Commercial Mortgage Securities Trust 2016-C2                                                                | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1704000 | PA      | $1573151.20   | 0.08%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                        | Kimberly-Clark Corp                                                                                               | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $224890.04    | 0.01%             | 2030-03-26      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                                   | Sinopec Group Overseas Development 2014 Ltd                                                                       | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |   1410000 | PA      | $1399510.94   | 0.07%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2983580 | PA      | $134081.78    | 0.01%             | 2029-06-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd                        | Octagon Investment Partners XXI Ltd                                                                               | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |   1580000 | PA      | $1552662.84   | 0.08%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    110000 | PA      | $82746.34     | 0.00%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    350000 | PA      | $338444.85    | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658150 | PA      | $554774.98    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329347 | PA      | $270609.96    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                       | SMRT 2022-MINI                                                                                                    | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2280000 | PA      | $2200304.20   | 0.12%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1220555.36   | 0.06%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL CANADA ULC                                        | MEGlobal Canada ULC                                                                                               | CUSIP: 58518N2A9<br>LEI: 635400MHHHT7LMKMQL03 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $341700.00    | 0.02%             | 2030-05-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L0FH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172208 | PA      | $140715.64    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $2174073.42   | 0.11%             | 2025-10-15      | Fixed         | 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        |   1080000 | PA      | $1061549.98   | 0.06%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B33Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196204 | PA      | $172657.35    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38379UN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5584660 | PA      | $222779.91    | 0.01%             | 2056-09-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $2650485.46   | 0.14%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS075341 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075341 IRS USD P F  2.60000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  11385000 | OU      | $1379401.48   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34738 | PA      | $31060.51     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A76M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38556 | PA      | $1142.22      | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750732 | PA      | $278880.25    | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                                              | CUSIP: 12657LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532209 | PA      | $1103532.74   | 0.06%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                   | Mars Inc                                                                                                          | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    340000 | PA      | $323662.33    | 0.02%             | 2025-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291336 | PA      | $258184.06    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                                                          | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    900000 | PA      | $933408.00    | 0.05%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    244000 | PA      | $150895.78    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                                               | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    650000 | PA      | $564634.31    | 0.03%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2809299.00   | 0.15%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                                                               | CUSIP: 025816CG2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $3952646.35   | 0.21%             | 2024-07-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-C36                                                                    | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |  34620306 | PA      | $1199555.53   | 0.06%             | 2059-11-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                           | Bain Capital Credit CLO 2020-1                                                                                    | CUSIP: 05684DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $489873.00    | 0.03%             | 2033-04-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32612 | PA      | $29220.69     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                   | Canadian Pacific Railway Co                                                                                       | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   3240000 | PA      | $2683401.70   | 0.14%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                                                               | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    760000 | PA      | $705548.04    | 0.04%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                                                     | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308000 | PA      | $1244293.99   | 0.07%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390357 | PA      | $320739.89    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    430000 | PA      | $424157.22    | 0.02%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                                                          | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $638912.19    | 0.03%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    830000 | PA      | $792648.57    | 0.04%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164636 | PA      | $155658.90    | 0.01%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    495895 | PA      | $442173.62    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556453 | PA      | $461352.37    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11830213 | PA      | $10299499.98  | 0.54%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436695 | PA      | $427909.53    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074948 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074948 IRS USD P F  3.27000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  47094000 | OU      | $1028947.86   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $938116.74    | 0.05%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360724 | PA      | $310162.66    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282852 | PA      | $258971.72    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    970000 | PA      | $967566.95    | 0.05%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1752428 | PA      | $1442893.82   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                | MF1 2022-FL10 LLC                                                                                                 | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4080000 | PA      | $3995906.71   | 0.21%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      2265 | NC      | $-377115.46   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433441 | PA      | $413318.81    | 0.02%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                                  | OPG Trust 2021-PORT                                                                                               | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3317211 | PA      | $3170198.62   | 0.17%             | 2036-10-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    560000 | PA      | $527377.10    | 0.03%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                    | GSK Consumer Healthcare Capital US LLC                                                                            | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    890000 | PA      | $781311.70    | 0.04%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $777668.85    | 0.04%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    720000 | PA      | $568174.85    | 0.03%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $131507.81    | 0.01%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       176 | NC      | $-316615.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932238 | PA      | $798465.59    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5440000 | PA      | $5173260.59   | 0.27%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    680000 | PA      | $650719.15    | 0.03%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                                                               | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    580000 | PA      | $568190.62    | 0.03%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    520000 | PA      | $377127.00    | 0.02%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                                                    | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249625.00    | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                              | MHC Trust 2021-MHC2                                                                                               | CUSIP: 55293AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210000 | PA      | $1173749.37   | 0.06%             | 2038-05-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    540000 | PA      | $467165.92    | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36202DUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       374 | PA      | $365.18       | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3TR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96286 | PA      | $78813.54     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac Structured Agency Credit Risk Debt Notes                                                              | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1180000 | PA      | $1166608.65   | 0.06%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $1967384.96   | 0.10%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307253 | PA      | $274710.54    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                               | CD 2016-CD1 Mortgage Trust                                                                                        | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $2317637.38   | 0.12%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133413 | PA      | $130002.88    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                   | Fox Corp                                                                                                          | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2702479.69   | 0.14%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EQYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456604 | PA      | $476687.48    | 0.03%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $915496.68    | 0.05%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $895751.60    | 0.05%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1598797 | PA      | $1584933.04   | 0.08%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392143 | PA      | $1348499.28   | 0.07%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397063 | PA      | $1313191.10   | 0.07%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                                                      | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $769947.75    | 0.04%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                           | Owl Rock CLO III Ltd                                                                                              | CUSIP: 691204AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2010000 | PA      | $1960600.23   | 0.10%             | 2032-04-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CAW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $192312.50    | 0.01%             | 2023-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                         | Banco Santander SA                                                                                                | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2433315.46   | 0.13%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46776 | PA      | $42818.74     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                     | Credit Suisse Group AG                                                                                            | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1680000 | PA      | $1304174.36   | 0.07%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2022-4                                                                                  | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3918257 | PA      | $3638480.71   | 0.19%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    210000 | PA      | $161252.70    | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                     | National Securities Clearing Corp                                                                                 | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    630000 | PA      | $583981.61    | 0.03%             | 2025-04-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698500 | PA      | $692246.55    | 0.04%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Medtronic Inc                                              | Medtronic Inc                                                                                                     | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |    134000 | PA      | $124793.67    | 0.01%             | 2045-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC25                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       191 | NC      | $207451.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380902 | PA      | $352495.23    | 0.02%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1578656 | PA      | $1302989.21   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3654206 | PA      | $3080287.73   | 0.16%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                     | Credit Suisse Group AG                                                                                            | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    640000 | PA      | $655275.00    | 0.03%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529478 | PA      | $454201.28    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                                    | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65149.26     | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GXE9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    720000 | PA      | $707539.32    | 0.04%             | 2024-02-20      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                            | Sands China Ltd                                                                                                   | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1120000 | PA      | $1070755.93   | 0.06%             | 2025-08-08      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369854 | PA      | $62325.85     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                          | Johnson & Johnson                                                                                                 | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    540000 | PA      | $453013.13    | 0.02%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1091146.62   | 0.06%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                            | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2196000 | PA      | $2125793.44   | 0.11%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                                                                | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    890000 | PA      | $653283.99    | 0.03%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                           | FirstEnergy Corp                                                                                                  | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1972126.67   | 0.10%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                                               | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1746000 | PA      | $1266560.97   | 0.07%             | 2035-06-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                        | Suzano Austria GmbH                                                                                               | CUSIP: 86964WAF9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   6200000 | PA      | $6166916.43   | 0.33%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                  | Apple Inc                                                                                                         | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1463835.39   | 0.08%             | 2025-05-11      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs          | United States Small Business Administration                                                                       | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    298094 | PA      | $274275.66    | 0.01%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3997845 | PA      | $162801.03    | 0.01%             | 2028-05-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Apache Corp                                                | Apache Corp                                                                                                       | CUSIP: 037411AR6<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |   2223000 | PA      | $2048828.17   | 0.11%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7460000 | PA      | $7458362.98   | 0.39%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $94486.66     | 0.00%             | 2032-06-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3230000 | PA      | $2706014.19   | 0.14%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                     | Credit Agricole SA/London                                                                                         | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    710000 | PA      | $647183.16    | 0.03%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391335 | PA      | $38633.51     | 0.00%             | 2046-12-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1187780.87   | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191713 | PA      | $159332.92    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                               | Chevron Corp                                                                                                      | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $920955.66    | 0.05%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980788 | PA      | $992454.45    | 0.05%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                                    | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  11460000 | PA      | $11379869.16  | 0.60%             | 2023-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1020873 | PA      | $860529.58    | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                                        | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148174.56    | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-RPL6 Trust                                                                                              | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608214 | PA      | $1379270.43   | 0.07%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694157 | PA      | $685263.30    | 0.04%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                             | Adjustable Rate Mortgage Trust 2005-9                                                                             | CUSIP: 007036SE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500462 | PA      | $484479.05    | 0.03%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                   | AmeriCredit Automobile Receivables Trust 2022-2                                                                   | CUSIP: 03065WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1491477.05   | 0.08%             | 2028-04-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6996423 | PA      | $187428.59    | 0.01%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150228 | PA      | $143899.00    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    540000 | PA      | $424586.41    | 0.02%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84364 | PA      | $74836.94     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    370000 | PA      | $237079.92    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175281 | PA      | $163173.31    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                     | Natixis Commercial Mortgage Securities Trust 2019-FAME                                                            | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7150000 | PA      | $6742384.22   | 0.36%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415162 | PA      | $397914.01    | 0.02%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364330 | PA      | $327142.03    | 0.02%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598605 | PA      | $587069.85    | 0.03%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                                              | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1453333.65   | 0.08%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1525784 | PA      | $49333.18     | 0.00%             | 2027-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1597876.46   | 0.08%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Republic of Kazakhstan                                     | Kazakhstan Government International Bond                                                                          | CUSIP: 486661AF8<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |   3240000 | PA      | $2887941.60   | 0.15%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                                   | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    510000 | PA      | $503674.00    | 0.03%             | 2023-05-01      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    934886 | PA      | $34492.62     | 0.00%             | 2059-12-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $718574.79    | 0.04%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-A                                                                           | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920447 | PA      | $839791.78    | 0.04%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910990 | PA      | $1561865.53   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                                   | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $857232.02    | 0.05%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2460000 | PA      | $1610723.43   | 0.09%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840982 | PA      | $490081.68    | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                                              | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $588784.82    | 0.03%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                                                        | CUSIP: 61690KAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2878606.50   | 0.15%             | 2046-02-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $338262.24    | 0.02%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2015-CCRE23 Mortgage Trust                                                                                   | CUSIP: 12593ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418000 | PA      | $396687.02    | 0.02%             | 2048-05-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4881 | PA      | $4395.92      | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2210858.89   | 0.12%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    750000 | PA      | $674023.92    | 0.04%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    380000 | PA      | $296787.60    | 0.02%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                   | Cleveland Electric Illuminating Co/The                                                                            | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $273287.51    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251052 | PA      | $20953.33     | 0.00%             | 2047-11-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                  | Adobe Inc                                                                                                         | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $929409.11    | 0.05%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1470439.40   | 0.08%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS069120 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS069120 IRS USD P F  1.63000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  20670000 | OU      | $5804481.19   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2016-3                                                                        | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3603241 | PA      | $3296558.08   | 0.17%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5365886 | PA      | $13436.18     | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742775 | PA      | $672891.14    | 0.04%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351750 | PA      | $289021.18    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  33200000 | PA      | $28104275.09  | 1.49%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36699 | PA      | $35301.48     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8807849 | PA      | $7574040.94   | 0.40%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99435 | PA      | $94989.46     | 0.01%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                     | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2079655.21   | 0.11%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84507 | PA      | $71822.90     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1812958.64   | 0.10%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                                               | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    365000 | PA      | $344730.35    | 0.02%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5020000 | PA      | $4525399.48   | 0.24%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276377 | PA      | $236832.09    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30900000 | PA      | $27110710.13  | 1.43%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3120000 | PA      | $2466144.69   | 0.13%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078071 | PA      | $933205.19    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1721010 | PA      | $1652265.10   | 0.09%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305150 | PA      | $253565.09    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    250000 | PA      | $166283.82    | 0.01%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                      | Applied Materials Inc                                                                                             | CUSIP: 038222AN5<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    390000 | PA      | $318027.08    | 0.02%             | 2030-06-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89156.30     | 0.00%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                     | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    790000 | PA      | $744742.89    | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LG2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98600.64     | 0.01%             | 2032-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1065997.36   | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $142856.65    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                | Walmart Inc                                                                                                       | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    330000 | PA      | $282793.78    | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367584 | PA      | $314597.85    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309136 | PA      | $42530.62     | 0.00%             | 2046-10-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550374 | PA      | $480103.38    | 0.03%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1617639.92   | 0.09%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                    | Fannie Mae Grantor Trust 2017-T1                                                                                  | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    238547 | PA      | $223254.01    | 0.01%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                   | KLA Corp                                                                                                          | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    680000 | PA      | $666060.40    | 0.04%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC GOLDMAN SACHS COC                                | SWAP CCPC GOLDMAN SACHS COC                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  11809421 | NS      | $11809420.87  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506773 | PA      | $80617.53     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074823 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074823 IRS USD P F  2.85000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  13114000 | OU      | $585921.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8521358 | PA      | $7417897.08   | 0.39%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141115 | PA      | $977189.07    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1890063 | PA      | $1760953.32   | 0.09%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                   | Constellation Brands Inc                                                                                          | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    650000 | PA      | $632959.21    | 0.03%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                                              | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $960819.48    | 0.05%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59099.80     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                        | Intesa Sanpaolo SpA                                                                                               | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    630000 | PA      | $629688.92    | 0.03%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175128 | PA      | $151327.49    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                       | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1482000 | PA      | $1386884.35   | 0.07%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                | Oracle Corp                                                                                                       | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    160000 | PA      | $136416.37    | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434979 | PA      | $451961.63    | 0.02%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2740056 | PA      | $2243754.90   | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488227 | PA      | $420369.49    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1157236.29   | 0.06%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1330775 | PA      | $1234606.66   | 0.07%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                    | GSK Consumer Healthcare Capital US LLC                                                                            | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    590000 | PA      | $530549.38    | 0.03%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433607 | PA      | $370166.22    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528883 | PA      | $496403.01    | 0.03%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                   | Uruguay Government International Bond                                                                             | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1890000 | PA      | $2042631.52   | 0.11%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96998.14     | 0.01%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99396 | PA      | $95022.60     | 0.01%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2022-NQM2                                                                     | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4142208 | PA      | $3756459.49   | 0.20%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1030510.78   | 0.05%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    440000 | PA      | $428534.41    | 0.02%             | 2027-03-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                                          | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $3743819.94   | 0.20%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                     | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    770000 | PA      | $741592.24    | 0.04%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    190000 | PA      | $125096.50    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380709 | PA      | $323288.60    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                         | Myers Park CLO Ltd                                                                                                | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1020000 | PA      | $984379.56    | 0.05%             | 2030-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                      | Vale Overseas Ltd                                                                                                 | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   2000000 | PA      | $2110266.00   | 0.11%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XIV-R LTD                                                                                               | CUSIP: 55954LAL7<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | KY        |   3170000 | PA      | $3117901.05   | 0.16%             | 2031-10-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617F4WW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2613461 | PA      | $2414877.32   | 0.13%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                         | Province of Quebec Canada                                                                                         | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    959000 | PA      | $901379.55    | 0.05%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $1416927.97   | 0.07%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1784657 | PA      | $1519837.95   | 0.08%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566915 | PA      | $506949.91    | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277064 | PA      | $237521.73    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234505 | PA      | $193551.97    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                                                    | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1260000 | PA      | $1197398.85   | 0.06%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                      | MidAmerican Energy Co                                                                                             | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1009760.87   | 0.05%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    560000 | PA      | $552987.05    | 0.03%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                               | DP World Ltd/United Arab Emirates                                                                                 | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   4160000 | PA      | $3894525.44   | 0.21%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                           | Carlyle Global Market Strategies CLO 2015-4 Ltd                                                                   | CUSIP: 14311NAL8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1713127.50   | 0.09%             | 2032-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM3                                                                                                    | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720082 | PA      | $2153844.88   | 0.11%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2611 | PA      | $2606.29      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                     | Berkshire Hathaway Finance Corp                                                                                   | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1059346.19   | 0.06%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497954 | PA      | $409154.07    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    820000 | PA      | $741602.45    | 0.04%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2017-2                                                                        | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2004623 | PA      | $1873189.27   | 0.10%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BFN5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    460000 | PA      | $457245.56    | 0.02%             | 2023-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                    | Nationwide Building Society                                                                                       | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1510000 | PA      | $1490247.69   | 0.08%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172701 | PA      | $143183.87    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                                        | CUSIP: 64829EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1691575 | PA      | $1572152.94   | 0.08%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                                       | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2190000 | PA      | $1960534.78   | 0.10%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236375 | PA      | $195316.93    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10407065 | PA      | $9352363.53   | 0.49%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                         | Banco Santander SA                                                                                                | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $185502.94    | 0.01%             | 2028-03-24      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2208871.01   | 0.12%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330000 | PA      | $309139.78    | 0.02%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $199024.25    | 0.01%             | 2030-01-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                             | Mastercard Inc                                                                                                    | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2319733.39   | 0.12%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1589602 | PA      | $1382463.10   | 0.07%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163465 | PA      | $135222.80    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251822 | PA      | $207847.39    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11400000 | PA      | $11290750.61  | 0.60%             | 2053-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218527 | PA      | $214555.18    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -156 | NC      | $-28301.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186219 | PA      | $159010.65    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    450000 | PA      | $303721.28    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97728 | PA      | $83839.80     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1545916.48   | 0.08%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                                                 | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    835000 | PA      | $777379.56    | 0.04%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                            | Danske Bank A/S                                                                                                   | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1970000 | PA      | $1953682.04   | 0.10%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                      | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   3740000 | PA      | $3491546.49   | 0.18%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196822 | PA      | $180195.23    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177278 | PA      | $151795.29    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                        | Gilead Sciences Inc                                                                                               | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    210000 | PA      | $202453.91    | 0.01%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $171094.06    | 0.01%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257740 | PA      | $220414.43    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aetna Inc                                                  | Aetna Inc                                                                                                         | CUSIP: 00817YAZ1<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    470000 | PA      | $360899.45    | 0.02%             | 2047-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95222.60     | 0.01%             | 2032-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                                          | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    420000 | PA      | $392271.34    | 0.02%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97438.79     | 0.01%             | 2032-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256343 | PA      | $221504.34    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    580000 | PA      | $550573.83    | 0.03%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3426979 | PA      | $3245962.01   | 0.17%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                                                                                 | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32378 | PA      | $30881.08     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                                                                | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1176488.45   | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                    | Shell International Finance BV                                                                                    | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   2490000 | PA      | $1786030.31   | 0.09%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5140000 | PA      | $4818147.80   | 0.25%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010310 | PA      | $947256.09    | 0.05%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11693 | PA      | $11497.76     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apache Corp                                                | Apache Corp                                                                                                       | CUSIP: 037411BA2<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $2791650.00   | 0.15%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145906 | PA      | $121658.76    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9BC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52436 | PA      | $51511.61     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1688413 | PA      | $55969.37     | 0.00%             | 2057-04-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                                                      | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    620000 | PA      | $411446.73    | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23                                                       | CUSIP: 61690QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618000 | PA      | $1534576.24   | 0.08%             | 2050-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916847 | PA      | $772849.36    | 0.04%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                                           | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    321000 | PA      | $297067.16    | 0.02%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4115 | PA      | $3959.24      | 0.00%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171233 | PA      | $169045.45    | 0.01%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ETN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812579 | PA      | $839605.78    | 0.04%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                        | Abbott Laboratories                                                                                               | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    650000 | PA      | $643394.49    | 0.03%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318541 | PA      | $262917.57    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97173 | PA      | $80731.89     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140JAD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314737 | PA      | $292632.56    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169542 | PA      | $146502.40    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510793 | PA      | $503360.09    | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                                   | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1346641.19   | 0.07%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354159 | PA      | $290999.23    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104408 | PA      | $100075.53    | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    260000 | PA      | $195494.64    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    610000 | PA      | $598217.78    | 0.03%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2021-NQM2 Trust                                                                                               | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774361 | PA      | $592747.65    | 0.03%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                                                   | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $1973687.51   | 0.10%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366950 | PA      | $342355.88    | 0.02%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                         | VNDO Trust 2016-350P                                                                                              | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $978052.75    | 0.05%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421863 | PA      | $435459.40    | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $178575.93    | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    790000 | PA      | $769941.54    | 0.04%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2156364 | PA      | $130245.00    | 0.01%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122710 | PA      | $113786.35    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   7320000 | PA      | $4613143.35   | 0.24%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1176199 | PA      | $1007420.21   | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8817900 | PA      | $7679902.58   | 0.41%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151198 | PA      | $157359.66    | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115515 | PA      | $105103.27    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234115 | PA      | $213805.26    | 0.01%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | Onslow Bay Mortgage Loan Trust                                                                                    | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2573844 | PA      | $2094927.67   | 0.11%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3730000 | PA      | $3433798.13   | 0.18%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43444000 | PA      | $30210550.10  | 1.60%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270772 | PA      | $246701.31    | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $168414.39    | 0.01%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239122 | PA      | $135189.46    | 0.01%             | 2046-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368968 | PA      | $330634.33    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172153 | PA      | $962010.54    | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14440000 | PA      | $11570050.00  | 0.61%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1287865 | PA      | $1052564.61   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288911 | PA      | $284679.76    | 0.02%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159496 | PA      | $153094.17    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180696 | PA      | $177469.73    | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157999 | PA      | $138956.21    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10780000 | PA      | $8881709.38   | 0.47%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS074104 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074104 IRS USD P F  2.00000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  12008000 | OU      | $1462624.47   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167813 | PA      | $139132.68    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493859 | PA      | $66399.92     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS036004 IRS USD R V 00MSOFR 20450720 IRS P F L / Short: BWS036004 IRS USD P F   .56000 20450720 IRS P F S | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  10300000 | OU      | $4531371.18   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90612 | PA      | $80403.38     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust           | GoodLeap Sustainable Home Solutions Trust 2022-1                                                                  | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1901577 | PA      | $1457018.16   | 0.08%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18090000 | PA      | $17491475.35  | 0.92%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27925.81     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                    | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2053676.29   | 0.11%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P3                                                                       | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758000 | PA      | $704043.21    | 0.04%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385065 | PA      | $381726.40    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                               | Barclays PLC                                                                                                      | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1900000 | PA      | $1784346.83   | 0.09%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    550000 | PA      | $467856.10    | 0.02%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                  | CIM Trust 2021-R6                                                                                                 | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308247 | PA      | $1121149.33   | 0.06%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                    | Becton Dickinson and Co                                                                                           | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    213000 | PA      | $208142.81    | 0.01%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LG2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96852.56     | 0.01%             | 2032-07-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                 | AbbVie Inc                                                                                                        | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    140000 | PA      | $127520.64    | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1488000 | PA      | $992858.60    | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                    | Shell International Finance BV                                                                                    | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   2760000 | PA      | $2250518.32   | 0.12%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1599423.95   | 0.08%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | PA      | $143747.99    | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru SA                                      | Petroleos del Peru SA                                                                                             | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1490000 | PA      | $973640.50    | 0.05%             | 2047-06-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                                  | Apple Inc                                                                                                         | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    950000 | PA      | $881013.29    | 0.05%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312715 | PA      | $256945.15    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                                                       | CUSIP: 61763UAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717000 | PA      | $690091.85    | 0.04%             | 2047-08-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                   | Ford Credit Floorplan Master Owner Trust A                                                                        | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $2843535.92   | 0.15%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137320 | PA      | $132428.16    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2014-2                                                                        | CUSIP: 64828YAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823260 | PA      | $753782.79    | 0.04%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131246 | PA      | $125662.89    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                             | Microsoft Corp                                                                                                    | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $763393.27    | 0.04%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337307 | PA      | $312945.95    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116851 | PA      | $99735.15     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1062628.77   | 0.06%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                     | National Securities Clearing Corp                                                                                 | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    760000 | PA      | $752120.02    | 0.04%             | 2023-04-23      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1249711 | PA      | $1252776.38   | 0.07%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367738 | PA      | $334304.22    | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91231 | PA      | $76902.24     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349421 | PA      | $300445.33    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186270 | PA      | $170318.68    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212565 | PA      | $198457.76    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                   | New York Life Global Funding                                                                                      | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    600000 | PA      | $543276.02    | 0.03%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC Series 2019-NQM1                                                                                             | CUSIP: 12655VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1999716 | PA      | $1842483.34   | 0.10%             | 2059-10-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3320000 | PA      | $3294578.86   | 0.17%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                         | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    690000 | PA      | $683100.00    | 0.04%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285018 | PA      | $297637.99    | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                               | Comcast Corp                                                                                                      | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1182339.96   | 0.06%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474565 | PA      | $388796.09    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                               | Chevron Corp                                                                                                      | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $233498.31    | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    850000 | PA      | $665652.48    | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    970000 | PA      | $879462.95    | 0.05%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                                                | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    730000 | PA      | $659152.52    | 0.03%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 90DAY EUR FUTR MAR23                                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       210 | NC      | $-76340.43    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447655.00    | 0.02%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332906 | PA      | $299813.24    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    960000 | PA      | $647984.44    | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-1                                                                        | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    361881 | PA      | $331533.00    | 0.02%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                                                    | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $1946733.43   | 0.10%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84897 | PA      | $84148.11     | 0.00%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1930466 | PA      | $1851974.04   | 0.10%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-AFC1 Trust                                                                                              | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130622 | PA      | $846030.02    | 0.04%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                                                  | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    750000 | PA      | $509266.70    | 0.03%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                           | CUSIP: 35564KRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3518388 | PA      | $3479561.29   | 0.18%             | 2042-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                              | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1430000 | PA      | $1417625.38   | 0.07%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2039728.44   | 0.11%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                                     | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1745846.08   | 0.09%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                           | Altria Group Inc                                                                                                  | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    680000 | PA      | $604677.11    | 0.03%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                               | Point Au Roche Park CLO Ltd                                                                                       | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3647756.25   | 0.19%             | 2034-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4FT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426593 | PA      | $350517.89    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                     | Credit Suisse Group AG                                                                                            | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1141000 | PA      | $1006331.27   | 0.05%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3140000 | PA      | $2925280.33   | 0.15%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EGAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32571 | PA      | $33924.44     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                                                 | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $169297.34    | 0.01%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   9590000 | PA      | $8447598.35   | 0.45%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461954 | PA      | $377874.91    | 0.02%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267783 | PA      | $229935.73    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                    | Shell International Finance BV                                                                                    | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    804000 | PA      | $757127.49    | 0.04%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                   | Lloyds Banking Group PLC                                                                                          | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $196303.47    | 0.01%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                | PepsiCo Inc                                                                                                       | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    310000 | PA      | $221476.35    | 0.01%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283611 | PA      | $264129.99    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Trust 2015-GC32                                                                            | CUSIP: 36250PAD7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    512000 | PA      | $489758.92    | 0.03%             | 2048-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L2NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86644 | PA      | $71192.70     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403602 | PA      | $361490.82    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    380000 | PA      | $274240.36    | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                       | Deephaven Residential Mortgage Trust 2022-1                                                                       | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3157227 | PA      | $2740041.78   | 0.14%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                | Workday Inc                                                                                                       | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    390000 | PA      | $364481.94    | 0.02%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303913 | PA      | $251970.47    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $593079.55    | 0.03%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91046 | PA      | $78736.64     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                            | CVS Health Corp                                                                                                   | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1642000 | PA      | $1588212.50   | 0.08%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                           | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3470000 | PA      | $3430057.87   | 0.18%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS053009 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS053009 IRS USD P F  1.72875 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  15181000 | OU      | $4005215.83   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                   | Cintas Corp No 2                                                                                                  | CUSIP: 17252MAQ3<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    420000 | PA      | $394315.61    | 0.02%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551348 | PA      | $487462.54    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276362 | PA      | $251681.67    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                    | DBJPM 16-C1 Mortgage Trust                                                                                        | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925000 | PA      | $858717.28    | 0.05%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1961034.93   | 0.10%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC                                   | BCRED MML CLO 2022-1 LLC                                                                                          | CUSIP: 072917AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2470000 | PA      | $2356565.25   | 0.12%             | 2035-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                            | Nordea Bank Abp                                                                                                   | CUSIP: 65557CBE2<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1540000 | PA      | $1514224.71   | 0.08%             | 2023-06-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2016-4                                                                        | CUSIP: 64829LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1891348 | PA      | $1746364.30   | 0.09%             | 2056-11-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3454929 | PA      | $178530.35    | 0.01%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                    | Shell International Finance BV                                                                                    | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    420000 | PA      | $368509.99    | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    740000 | PA      | $674098.72    | 0.04%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15890 | PA      | $15230.43     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92540 | PA      | $78006.11     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    420000 | PA      | $288354.70    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271634 | PA      | $233877.29    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28600000 | PA      | $23264963.44  | 1.23%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                             | Halliburton Co                                                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26261.70     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    890000 | PA      | $855917.66    | 0.05%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                               | Chevron Corp                                                                                                      | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    610000 | PA      | $437771.86    | 0.02%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751146 | PA      | $728925.70    | 0.04%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                         | Raytheon Technologies Corp                                                                                        | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1400062.64   | 0.07%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    117000 | PA      | $101667.35    | 0.01%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | SOFR 1YR MIDCURVE JAN23P 95.87                                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       777 | NC      | $281662.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275843 | PA      | $226650.66    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    450000 | PA      | $418443.49    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                               | Barclays PLC                                                                                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $736848.38    | 0.04%             | 2030-06-20      | Fixed         | 5.09%                 | 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              | XX        |   1460000 | PA      | $1372360.84   | 0.07%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683855 | PA      | $528348.65    | 0.03%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138EQRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778250 | PA      | $767923.98    | 0.04%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Danone SA                                                  | Danone SA                                                                                                         | CUSIP: 23636TAE0<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |    360000 | PA      | $334577.74    | 0.02%             | 2026-11-02      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430315 | PA      | $353579.49    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                      | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    550000 | PA      | $537549.96    | 0.03%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                                                   | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    660000 | PA      | $549113.29    | 0.03%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1074414 | PA      | $1057071.08   | 0.06%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2649291 | PA      | $2464080.47   | 0.13%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $2494432.75   | 0.13%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    500000 | PA      | $442959.90    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                                                             | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    240000 | PA      | $212885.79    | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2015-2                                                                        | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2971271 | PA      | $2761504.81   | 0.15%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2020-RPL4 Trust                                                                                              | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1294295 | PA      | $1092791.46   | 0.06%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                                        | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $964202.70    | 0.05%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                                                    | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $958350.52    | 0.05%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7640000 | PA      | $7614024.00   | 0.40%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710565 | PA      | $613389.17    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904664 | PA      | $91607.64     | 0.00%             | 2044-08-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    228000 | PA      | $183384.01    | 0.01%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                                         | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   3570000 | PA      | $2227061.57   | 0.12%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                                    | TRTX 2022-FL5 Issuer Ltd                                                                                          | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4690000 | PA      | $4513975.86   | 0.24%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                       | Glencore Funding LLC                                                                                              | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    870000 | PA      | $856049.80    | 0.05%             | 2024-03-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                      | Northrop Grumman Corp                                                                                             | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1534401.38   | 0.08%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2014-GC25                                                                     | CUSIP: 17322YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889000 | PA      | $856485.63    | 0.05%             | 2047-10-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                                               | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    790000 | PA      | $464125.00    | 0.02%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950977 | PA      | $847357.03    | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                      | Republic Services Inc                                                                                             | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    590000 | PA      | $565389.54    | 0.03%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2167182.40   | 0.11%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                        | Gilead Sciences Inc                                                                                               | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    690000 | PA      | $620950.14    | 0.03%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                    | Schlumberger Holdings Corp                                                                                        | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    295000 | PA      | $274848.06    | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168092 | PA      | $139053.18    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                              | Citigroup Inc                                                                                                     | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    620000 | PA      | $515194.03    | 0.03%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                          | General Motors Co                                                                                                 | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    191000 | PA      | $183112.40    | 0.01%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                                              | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    790000 | PA      | $690755.55    | 0.04%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2185134.56   | 0.12%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 31329KVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72076 | PA      | $66862.62     | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                                                              | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    220000 | PA      | $185932.47    | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26550677 | PA      | $729246.20    | 0.04%             | 2026-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    900000 | PA      | $707939.24    | 0.04%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                            | Chevron USA Inc                                                                                                   | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1889063.40   | 0.10%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                   | Cintas Corp No 2                                                                                                  | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |    690000 | PA      | $665141.07    | 0.04%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4220000 | PA      | $3413094.39   | 0.18%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532610 | PA      | $509469.75    | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                          | State Street Corp                                                                                                 | CUSIP: 857477AL7<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    730000 | PA      | $725121.07    | 0.04%             | 2023-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820535 | PA      | $272720.27    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                                | Corp Nacional del Cobre de Chile                                                                                  | CUSIP: 21987BAW8<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |   5270000 | PA      | $4940790.37   | 0.26%             | 2027-08-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                   | Principal Life Global Funding II                                                                                  | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $272835.07    | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| KNDL Mortgage Trust                                        | KNDL 2019-KNSQ Mortgage Trust                                                                                     | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $4398635.88   | 0.23%             | 2036-05-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191364 | PA      | $52995.80     | 0.00%             | 2029-10-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267354 | PA      | $238030.13    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3885774 | PA      | $424556.53    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                                                           | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   1520000 | PA      | $1232316.87   | 0.07%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2897494 | PA      | $164635.32    | 0.01%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258948 | PA      | $223353.87    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                                                                 | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1237000 | PA      | $1154035.41   | 0.06%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                      | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    440000 | PA      | $340053.34    | 0.02%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1665871 | PA      | $1442983.11   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34990000 | PA      | $19442685.46  | 1.03%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93599 | PA      | $82662.80     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140J9H46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120225 | PA      | $112536.50    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                 | Cigna Corp                                                                                                        | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    550000 | PA      | $537368.25    | 0.03%             | 2025-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30250 | PA      | $27108.73     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                   | International Business Machines Corp                                                                              | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1575495.51   | 0.08%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193455 | PA      | $185532.53    | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                                            | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1250372.31   | 0.07%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870714 | PA      | $219696.47    | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $133337.35    | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176089.52    | 0.01%             | 2029-07-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716523 | PA      | $587678.68    | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922284 | PA      | $824751.67    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                                                | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    900000 | PA      | $656051.39    | 0.03%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314313 | PA      | $1078713.55   | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs          | United States Small Business Administration                                                                       | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    503785 | PA      | $440225.52    | 0.02%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1799134 | PA      | $1533846.27   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374472 | PA      | $359545.55    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7495356 | PA      | $191208.04    | 0.01%             | 2055-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                                     | Province of Manitoba Canada                                                                                       | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |    872000 | PA      | $806215.18    | 0.04%             | 2026-06-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86766 | PA      | $74705.88     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                                                       | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1271800 | PA      | $1197166.96   | 0.06%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    600000 | PA      | $560439.87    | 0.03%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                        | Abbott Laboratories                                                                                               | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    920000 | PA      | $896940.59    | 0.05%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168691 | PA      | $138606.84    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155393 | PA      | $149465.31    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                                        | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    840000 | PA      | $729029.81    | 0.04%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167997 | PA      | $952475.99    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                      | Vale Overseas Ltd                                                                                                 | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   4600000 | PA      | $4764374.74   | 0.25%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819217 | PA      | $709231.95    | 0.04%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    670000 | PA      | $634210.38    | 0.03%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104323 | PA      | $102112.28    | 0.01%             | 2070-07-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474821 | PA      | $405479.89    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507240 | PA      | $474492.58    | 0.03%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                                                           | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    862000 | PA      | $775068.03    | 0.04%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1473276 | PA      | $1366799.46   | 0.07%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1593037.39   | 0.08%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    310000 | PA      | $229818.09    | 0.01%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                         | Union Pacific Corp                                                                                                | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    380000 | PA      | $369203.69    | 0.02%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                    | HalseyPoint CLO 3 Ltd                                                                                             | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $789321.60    | 0.04%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    930000 | PA      | $890873.06    | 0.05%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWS075820 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075820 IRS USD P F  3.85000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  43390000 | OU      | $-498870.45   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                                                              | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1764125.88   | 0.09%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6738000 | PA      | $6492095.54   | 0.34%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14840000 | PA      | $14844637.50  | 0.79%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                | Swedbank AB                                                                                                       | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   1050000 | PA      | $1031112.60   | 0.05%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                     | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2419928.97   | 0.13%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1278805.47   | 0.07%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                   | Comision Federal de Electricidad                                                                                  | CUSIP: 200447AF7<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    920000 | PA      | $857900.00    | 0.05%             | 2027-02-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | State of Israel                                                                                                   | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    930000 | PA      | $714212.10    | 0.04%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60216 | PA      | $58660.22     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    280000 | PA      | $265720.91    | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232423 | PA      | $190355.42    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                | NVIDIA Corp                                                                                                       | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1554800.70   | 0.08%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218154 | PA      | $180465.44    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                   | BHP Billiton Finance USA Ltd                                                                                      | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    920000 | PA      | $891296.45    | 0.05%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                                                          | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1429832.08   | 0.08%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    510000 | PA      | $471473.04    | 0.02%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161718 | PA      | $132191.04    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                       | Bank of America Corp                                                                                              | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5111000 | PA      | $5008096.05   | 0.26%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-NQM7                                                                                                    | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875644 | PA      | $714447.62    | 0.04%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $7312850.95   | 0.39%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                         | Banco Santander SA                                                                                                | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $600063.22    | 0.03%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                    | Halsey Point CLO I Ltd                                                                                            | CUSIP: 406375AA3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $559933.23    | 0.03%             | 2033-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    880000 | PA      | $745410.51    | 0.04%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                     | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $286117.30    | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | Israel Government International Bond                                                                              | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   3620000 | PA      | $3284245.00   | 0.17%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                                 | Applebee's Funding LLC / IHOP Funding LLC                                                                         | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3118500 | PA      | $3064200.68   | 0.16%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $186100.34    | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132ADXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13247 | PA      | $13301.91     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                         | Cold Storage Trust 2020-ICE5                                                                                      | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6310799 | PA      | $6137499.57   | 0.32%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                                                              | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1234966.18   | 0.07%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772450 | PA      | $685403.87    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207316 | PA      | $1086020.69   | 0.06%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                     | Anglo American Capital PLC                                                                                        | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    930000 | PA      | $876166.60    | 0.05%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2017-6                                                                                  | CUSIP: 89175JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1828413.96   | 0.10%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5510000 | PA      | $5472370.56   | 0.29%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77295 | PA      | $8347.76      | 0.00%             | 2043-06-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208830 | PA      | $199626.97    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                                                          | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    210000 | PA      | $140559.50    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8372572 | PA      | $157535.80    | 0.01%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77655.66     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                      | Northrop Grumman Corp                                                                                             | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    660000 | PA      | $608684.78    | 0.03%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                              | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4850000 | PA      | $3795411.44   | 0.20%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506581 | PA      | $493601.90    | 0.03%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    290000 | PA      | $289298.20    | 0.02%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    820000 | PA      | $748056.13    | 0.04%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                            | Long: SWS075507 CDS USD R F  1.00000 2 CCPCDX / Short: SWS075507 CDS USD P V 03MEVENT 1 CCPCDX                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        | 310896000 | OU      | $2477862.88   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1883442 | PA      | $1608412.22   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251628 | PA      | $260938.88    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                           | Bank of Montreal                                                                                                  | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $264156.13    | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2019-1 Ltd                                                                                      | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |   1830000 | PA      | $1785721.32   | 0.09%             | 2034-11-14      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                         | Roche Holdings Inc                                                                                                | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $822433.39    | 0.04%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                                                                | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    360000 | PA      | $278093.38    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2985051 | PA      | $2951871.88   | 0.16%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49768 | PA      | $42691.76     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                        | Citigroup Commercial Mortgage Trust 2016-P6                                                                       | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354723 | PA      | $335356.89    | 0.02%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4040000 | PA      | $3305878.91   | 0.17%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4989579 | PA      | $197550.91    | 0.01%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7797915 | PA      | $99859.32     | 0.01%             | 2053-12-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                            | Danske Bank A/S                                                                                                   | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    410000 | PA      | $404868.79    | 0.02%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744912 | PA      | $686653.36    | 0.04%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-2                                                                         | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148903 | PA      | $921790.40    | 0.05%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                       | Southern Copper Corp                                                                                              | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |   7310000 | PA      | $6975073.20   | 0.37%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19999683 | PA      | $343132.55    | 0.02%             | 2032-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                            | Recette Clo Ltd                                                                                                   | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $929806.08    | 0.05%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3915711 | PA      | $537654.59    | 0.03%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $495068.68    | 0.03%             | 2032-12-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    220000 | PA      | $219175.00    | 0.01%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165919 | PA      | $137253.09    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                   | Telefonica Emisiones SA                                                                                           | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    490000 | PA      | $393466.81    | 0.02%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L0AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338204 | PA      | $277040.10    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362271 | PA      | $310793.84    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                                                            | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    330000 | PA      | $296789.90    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582506 | PA      | $558313.13    | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                         | Panama Government International Bond                                                                              | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1050000 | PA      | $764972.43    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796ZG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5590000 | PA      | $5485828.39   | 0.29%             | 2023-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167973 | PA      | $157027.24    | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                       | Colombia Government International Bond                                                                            | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1740000 | PA      | $1539817.85   | 0.08%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae                                                                                                        | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9800000 | PA      | $9845610.18   | 0.52%             | 2053-02-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                              | VLS Commercial Mortgage Trust 2020-LAB                                                                            | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1554751.28   | 0.08%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2603344.70   | 0.14%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162039 | PA      | $145093.40    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                     | Anglo American Capital PLC                                                                                        | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $415591.32    | 0.02%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161886 | PA      | $134219.45    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896183 | PA      | $72097.04     | 0.00%             | 2030-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| GCAT                                                       | GCAT 2019-NQM2 Trust                                                                                              | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3496853 | PA      | $3178523.76   | 0.17%             | 2060-01-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                                               | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    790000 | PA      | $734831.79    | 0.04%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                                                        | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    520000 | PA      | $441736.32    | 0.02%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2165233 | PA      | $1767534.58   | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                   | MassMutual Global Funding II                                                                                      | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2453883.63   | 0.13%             | 2023-06-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                | NVIDIA Corp                                                                                                       | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    870000 | PA      | $641622.49    | 0.03%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390899 | PA      | $384412.17    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    970000 | PA      | $704170.59    | 0.04%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                                                   | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |  16522444 | PA      | $767067.66    | 0.04%             | 2049-08-15      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                   | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397XZ1<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1366000 | PA      | $1351588.70   | 0.07%             | 2023-05-04      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                     | Credit Suisse AG/New York NY                                                                                      | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   5100000 | PA      | $4981721.21   | 0.26%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755186 | PA      | $649346.43    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2022-NQM3                                                                         | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3843097 | PA      | $3832618.12   | 0.20%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247538 | PA      | $212654.02    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180182 | PA      | $168606.44    | 0.01%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1420235 | PA      | $1224604.29   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                   | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                         | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   3210000 | PA      | $3049339.50   | 0.16%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799977 | PA      | $745967.10    | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1825967.20   | 0.10%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6360000 | PA      | $5760981.81   | 0.30%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    940000 | PA      | $842575.30    | 0.04%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust              | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                                                    | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5130000 | PA      | $4220769.57   | 0.22%             | 2036-12-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280107 | PA      | $260780.73    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335779 | PA      | $46293.52     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | Morgan Stanley                                                                                                    | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1483522.16   | 0.08%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3043636 | PA      | $2719710.10   | 0.14%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227152 | PA      | $1050977.95   | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2021-RPL2Trust                                                                                               | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773132 | PA      | $623065.03    | 0.03%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    960000 | PA      | $946398.87    | 0.05%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1437011 | PA      | $1278739.49   | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313276 | PA      | $269143.19    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449279 | PA      | $369990.10    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1870936 | PA      | $367738.32    | 0.02%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    902331 | PA      | $738354.69    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                    | Becton Dickinson and Co                                                                                           | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     86000 | PA      | $83862.59     | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                     | Mondelez International Inc                                                                                        | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1054926.65   | 0.06%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9995472 | PA      | $290771.28    | 0.02%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                     | Export-Import Bank of India                                                                                       | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |   1300000 | PA      | $1215825.00   | 0.06%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506028 | PA      | $436631.85    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                     | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1402678.14   | 0.07%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                                                             | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $650845.25    | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $213029.16    | 0.01%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1085372 | PA      | $181092.51    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952795 | PA      | $924575.98    | 0.05%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $2251210.80   | 0.12%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $666776.17    | 0.04%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                          | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393009 | PA      | $384356.18    | 0.02%             | 2070-07-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                          | EOG Resources Inc                                                                                                 | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1141795.19   | 0.06%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                     | Anglo American Capital PLC                                                                                        | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1100000 | PA      | $1064315.29   | 0.06%             | 2024-09-11      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                      | Texas Instruments Inc                                                                                             | CUSIP: 882508BD5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1362762.23   | 0.07%             | 2048-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    750000 | PA      | $564624.38    | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                                                        | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2715434.44   | 0.14%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                      | Costco Wholesale Corp                                                                                             | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $395282.72    | 0.02%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 35 LTD                         | OCTAGON INVESTMENT PARTNERS 35 LTD                                                                                | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |   2950000 | PA      | $2913626.50   | 0.15%             | 2031-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                          | TSMC Arizona Corp                                                                                                 | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   5220000 | PA      | $4271896.36   | 0.23%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                                                   | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    930000 | PA      | $740200.59    | 0.04%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1248917 | PA      | $1025009.24   | 0.05%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    420000 | PA      | $378222.37    | 0.02%             | 2027-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1157096.10   | 0.06%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                                                               | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    430000 | PA      | $416788.42    | 0.02%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                            | Danske Bank A/S                                                                                                   | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $186711.80    | 0.01%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Reese Park CLO, Ltd.                                       | REESE PARK CLO LTD                                                                                                | CUSIP: 758465BA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3209500.80   | 0.17%             | 2034-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137844 | PA      | $133805.16    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                             | Salesforce Inc                                                                                                    | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    790000 | PA      | $757735.74    | 0.04%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2198230 | PA      | $2039375.11   | 0.11%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404438 | PA      | $363809.78    | 0.02%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44077 | PA      | $39736.69     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                             | Amazon.com Inc                                                                                                    | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    630000 | PA      | $620354.91    | 0.03%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                                                    | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    390000 | PA      | $369025.80    | 0.02%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    760000 | PA      | $516818.08    | 0.03%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96469 | PA      | $80535.64     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $279985.26    | 0.01%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                   | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822794 | PA      | $806974.48    | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                | Balboa Bay Loan Funding 2021-2 Ltd                                                                                | CUSIP: 05766GAA5<br>LEI: 549300N3EVICXRV85R74 | Long             | ABS-CBDO         | CORP              | KY        |   1590000 | PA      | $1545349.62   | 0.08%             | 2035-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18600000 | PA      | $11067000.00  | 0.59%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                        | American International Group Inc                                                                                  | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    333000 | PA      | $313486.20    | 0.02%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490649 | PA      | $445961.12    | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                           | WFRBS Commercial Mortgage Trust 2014-C20                                                                          | CUSIP: 92890FAZ9<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |   3603000 | PA      | $3179541.57   | 0.17%             | 2047-05-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    980000 | PA      | $825520.58    | 0.04%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79735 | PA      | $68949.69     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                                          | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $966468.99    | 0.05%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                                    | Guardian Life Global Funding                                                                                      | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    320000 | PA      | $289834.45    | 0.02%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                        | Petroleos Mexicanos                                                                                               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    900000 | PA      | $557261.91    | 0.03%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                      | Cayuga Park CLO Ltd                                                                                               | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   2590000 | PA      | $2525749.87   | 0.13%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                 | Humana Inc                                                                                                        | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1169477.58   | 0.06%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Bill                                                                                       | CUSIP: 912796Z85<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9901825.00   | 0.52%             | 2023-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $79869.72     | 0.00%             | 2029-06-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** William Flory

**Name of Signer:** William Flory

**Title:** VP