# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-23-044033
**Filing Date:** 2023-2
**Character Count:** 249537
**Document Hash:** 3bb03472b77f7e6a0c0858b212cb550b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044033.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044033

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 23678700

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### TCW Core Fixed Income Portfolio (Series ID: S000049130)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000154912 | Class A      |  |
| C000154913 | Class B      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

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

- **b. EDGAR series identifier (if any):** S000049130

- **c. LEI of Series:** 5493008SZXD1WBYIP018

**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:** $2140485432.93

**Total Liabilities:** $635360698.83

**Net Assets:** $1505124734.10

**Delayed Delivery Securities:** $93511818.29

**Cash Not Reported:** $8448247.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1439.62000000 | **1-Year:** -33348.96000000 | **5-Year:** -109075.99000000 | **10-Year:** -157585.76000000 | **30-Year:** -71656.91000000

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

- **3-Month:** -231.06000000 | **1-Year:** -4647.33000000 | **5-Year:** -10303.20000000 | **10-Year:** -3298.12000000 | **30-Year:** -71.09000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000154913 | -1.52%               | 4.05%                | -0.69%               |
| Class ID C000154912 | -1.52%               | 4.05%                | -0.69%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-21110304.78            | $-5467348.24                               |
| Month 2  | $-10604567.04            | $65068452.14                               |
| Month 3  | $9162092.43              | $-22604919.68                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg

- **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        |  24590000 | PA      | $24624579.69  | 1.64%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                                             | Long: BWFCME023 IRS USD R V 03MLIBOR SWFCME023_FLO CCPVANILLA / Short: BWFCME023 IRS USD P F  1.80750 SWFCME023_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1970000 | OU      | $588745.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2351179 | PA      | $2002385.23   | 0.13%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2235000 | PA      | $1620668.32   | 0.11%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5695000 | PA      | $5003982.71   | 0.33%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Wachovia Student Loan Trust                                             | Wachovia Student Loan Trust 2006-1                                                                                             | CUSIP: 92978JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4011069 | PA      | $3828994.20   | 0.25%             | 2040-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NatWest Group PLC                                                                                                              | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3830000 | PA      | $3745275.88   | 0.25%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    335000 | PA      | $313707.65    | 0.02%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: —       |
| Pennsylvania Electric Co                                                | Pennsylvania Electric Co                                                                                                       | CUSIP: 708696BX6<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2689878.97   | 0.18%             | 2025-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                                           | UBS AG LONDON                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             | 2023-03-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: BWFCME027 IRS USD R V 03MLIBOR SWFCME027_FLO CCPVANILLA / Short: BWFCME027 IRS USD P F  1.78500 SWFCME027_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2915000 | OU      | $883172.12    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                                                                            | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   2235000 | PA      | $2107400.81   | 0.14%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418DGV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019274 | PA      | $887352.97    | 0.06%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335AAY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2886132 | PA      | $2700323.52   | 0.18%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698076 | PA      | $699592.90    | 0.05%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3445000 | PA      | $3218715.66   | 0.21%             | 2025-03-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: —       |
| Nomura Resecuritization Trust                                           | Nomura Resecuritization Trust 2014-3R                                                                                          | CUSIP: 65540LBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88502 | PA      | $88132.42     | 0.01%             | 2035-11-26      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    675000 | PA      | $638015.14    | 0.04%             | 2028-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                  | Verizon Communications Inc                                                                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $908706.21    | 0.06%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58041 | PA      | $58158.08     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | 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        |   3853502 | PA      | $3697556.57   | 0.25%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11830300 | PA      | $11088754.16  | 0.74%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                                                                          | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $4103319.60   | 0.27%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: —       |
| General Motors Co                                                       | General Motors Co                                                                                                              | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $3319640.97   | 0.22%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY PROGRESS LLC                                                | Duke Energy Progress LLC                                                                                                       | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $1947178.43   | 0.13%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                                                | Lloyds Banking Group PLC                                                                                                       | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3055000 | PA      | $2805071.52   | 0.19%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    499000 | PA      | $344276.72    | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                                       | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000556 | PA      | $2000556.00   | 0.13%             | 2023-03-07      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJ4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347565 | PA      | $348965.07    | 0.02%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                                        | Societe Generale                                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   7200000 | PA      | $7200000.00   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4740000 | PA      | $4389244.65   | 0.29%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK USA NV                                             | FIRST ABU DHABI BANK USA NV                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.20%             | 2023-01-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                                | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1737936.60   | 0.12%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                                                                         | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    320000 | PA      | $286637.47    | 0.02%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1699376.02   | 0.11%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                        | BAT Capital Corp                                                                                                               | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   5585000 | PA      | $3946217.74   | 0.26%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE GROUP AG                                                  | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   7530000 | PA      | $6606771.70   | 0.44%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: —       |
| CIBC NY                                                                 | CIBC NY                                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   7002679 | PA      | $7002679.46   | 0.47%             | 2023-03-03      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                                        | Societe Generale                                                                                                               | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   5300000 | PA      | $5300000.00   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NBF9<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $949779.17    | 0.06%             | 2044-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MFWR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1795846 | PA      | $1729101.03   | 0.11%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785784 | PA      | $754432.40    | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                                                                    | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $1930710.37   | 0.13%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $3489438.82   | 0.23%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: —       |
| FARMERS EXCHANGE CAP III                                                | Farmers Exchange Capital III                                                                                                   | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3220259.83   | 0.21%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBH8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1573444.91   | 0.10%             | 2026-03-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2098833.01   | 0.14%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| CREDIT AGRICOLE SA LONDON                                               | CREDIT AGRICOLE SA LONDON                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5001250 | PA      | $5001250.00   | 0.33%             | 2023-02-03      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                     | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2110000 | PA      | $1459906.26   | 0.10%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $1877274.80   | 0.12%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: —       |
| KINDER MORGAN INC                                                       | Kinder Morgan Inc                                                                                                              | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1162559.51   | 0.08%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                                | OHA Credit Funding 4 Ltd                                                                                                       | CUSIP: 67098DAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3859276.00   | 0.26%             | 2036-10-22      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1238807.89   | 0.08%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $2020357.72   | 0.13%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    843762 | PA      | $790037.38    | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1250000 | PA      | $1062865.91   | 0.07%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: —       |
| RBSCF Trust                                                             | RBS Commercial Funding Inc 2013-GSP Trust                                                                                      | CUSIP: 74932QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205000 | PA      | $1159779.84   | 0.08%             | 2032-01-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                              | AbbVie Inc                                                                                                                     | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1384000 | PA      | $1189451.80   | 0.08%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                              | Cigna Corp                                                                                                                     | CUSIP: 125523BK5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $852774.16    | 0.06%             | 2047-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2006-1                                                                                                  | CUSIP: 784427AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7354829 | PA      | $6979225.47   | 0.46%             | 2055-03-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED NY                                                   | STANDARD CHARTERED NY                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3004554 | PA      | $3004553.58   | 0.20%             | 2023-05-02      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                                                                         | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    460000 | PA      | $390588.07    | 0.03%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                                                                           | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   2219000 | PA      | $1512979.88   | 0.10%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1344208.45   | 0.09%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4260000 | PA      | $3409636.22   | 0.23%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| AIG CLO LTD                                                             | AIG CLO 2018-1 LLC                                                                                                             | CUSIP: 00141UAC7<br>LEI: 549300BOP4S1F44PKE29 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4919660.00   | 0.33%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2880000 | PA      | $2324681.48   | 0.15%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                                                                  | CUSIP: 78445CAD4<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |   4622652 | PA      | $4473368.54   | 0.30%             | 2023-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2009-3                                                                                                  | CUSIP: 78445RAA7<br>LEI: 549300SSKEO0UXU85O97 | Long             | ABS-O            | CORP              | US        |   2092797 | PA      | $2017389.07   | 0.13%             | 2045-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                     | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    355000 | PA      | $224368.38    | 0.01%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    990000 | PA      | $913497.59    | 0.06%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                           | HSBC Bank PLC                                                                                                                  | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | RA               | CORP              | US        |  10000000 | PA      | $10000000.00  | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1993751.18   | 0.13%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LIMITED NEW YORK                                            | MIZUHO BANK LIMITED NEW YORK                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000601 | PA      | $2000600.70   | 0.13%             | 2023-01-26      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                                                                       | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    975000 | PA      | $752045.05    | 0.05%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                                                                           | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1514800.03   | 0.10%             | 2033-10-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: —       |
| BX Trust 2019-OC11                                                      | BX Trust 2019-OC11                                                                                                             | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895000 | PA      | $748734.54    | 0.05%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: SWFCME022 IRS USD R F  1.07250 SWFCME022_FIX CCPVANILLA / Short: SWFCME022 IRS USD P V 03MLIBOR SWFCME022_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  23585000 | OU      | $-1414576.41  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Student Loan Trust 2015-3                                                                                              | CUSIP: 63939LAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2470000 | PA      | $2147285.86   | 0.14%             | 2058-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                          | Option One Mortgage Loan Trust 2005-2                                                                                          | CUSIP: 68389FHB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300323 | PA      | $297185.72    | 0.02%             | 2035-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9089979 | PA      | $7712990.52   | 0.51%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $3450520.72   | 0.23%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  45475000 | PA      | $43758604.79  | 2.91%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                | Duke Energy Progress LLC                                                                                                       | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $839385.81    | 0.06%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| One Bryant Park Trust                                                   | One Bryant Park Trust 2019-OBP                                                                                                 | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $1956605.29   | 0.13%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI Properties LP                                                                                                             | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   1790000 | PA      | $1657450.50   | 0.11%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| US AIRWAYS 2010-1A PTT                                                  | US Airways 2010-1 Class A Pass Through Trust                                                                                   | CUSIP: 90345KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    862856 | PA      | $862274.17    | 0.06%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2019-R4                                                                                                              | CUSIP: 12556FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4582796 | PA      | $4159485.21   | 0.28%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-55HY Mortgage Trust                                                                                          | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1549960.34   | 0.10%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                       | United States Small Business Administration                                                                                    | CUSIP: 83162CQ48<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   3896000 | PA      | $3661016.27   | 0.24%             | 2047-08-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC                       | LCCM 2017-LC26                                                                                                                 | CUSIP: 50190DAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2834000 | PA      | $2618838.47   | 0.17%             | 2050-07-12      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                         | CSAIL 2020-C19 Commercial Mortgage Trust                                                                                       | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3384500 | PA      | $2826462.62   | 0.19%             | 2053-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                                                                   | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1969000 | PA      | $1477925.87   | 0.10%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1496035.36   | 0.10%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| ING (US) Funding LLC                                                    | ING (US) Funding LLC                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3004086 | PA      | $3004086.00   | 0.20%             | 2023-08-04      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XIX Ltd                                                                                                   | CUSIP: 55819QAY3<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   1720938 | PA      | $1702798.90   | 0.11%             | 2028-01-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                            | BAMLL Commercial Mortgage Securities Trust 2018-PARK                                                                           | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3265000 | PA      | $2935549.75   | 0.20%             | 2038-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| SUMITOMO BK NY                                                          | SUMITOMO BK NY                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5006770 | PA      | $5006770.00   | 0.33%             | 2023-04-21      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3180000 | PA      | $2197209.68   | 0.15%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: —       |
| AON CORP/AON GLOBAL HOLD                                                | Aon Corp / Aon Global Holdings PLC                                                                                             | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    960000 | PA      | $740846.71    | 0.05%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13345000 | PA      | $13618155.47  | 0.90%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| SPRINT SPECTRUM / SPEC I                                                | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC                                                | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4770000 | PA      | $4713764.37   | 0.31%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                               | Hess Corp                                                                                                                      | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1134322.92   | 0.08%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    141000 | PA      | $103070.90    | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                                                               | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $883268.58    | 0.06%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: BWFCME025 IRS USD R V 03MLIBOR SWFCME025_FLO CCPVANILLA / Short: BWFCME025 IRS USD P F  1.77250 SWFCME025_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3940000 | OU      | $1202738.98   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5332232 | PA      | $4346100.03   | 0.29%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         7 | NC      | $-77923.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1718543 | PA      | $1599915.25   | 0.11%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1034335.90   | 0.07%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                                    | Physicians Realty LP                                                                                                           | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    990000 | PA      | $772734.00    | 0.05%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| TEACHERS INSUR & ANNUITY                                                | Teachers Insurance & Annuity Association of America                                                                            | CUSIP: 878091BE6<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3347639.16   | 0.22%             | 2054-09-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| National Bank Of Canada                                                 | National Bank Of Canada                                                                                                        | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                              | AbbVie Inc                                                                                                                     | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    599000 | PA      | $554856.97    | 0.04%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Spire Inc                                                               | Spire Inc                                                                                                                      | CUSIP: 505597AD6<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $808638.04    | 0.05%             | 2044-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                 | Essential Utilities Inc                                                                                                        | CUSIP: 03836WAC7<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $1631240.86   | 0.11%             | 2049-05-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                  | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    785000 | PA      | $629215.50    | 0.04%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179UVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128409 | PA      | $116825.17    | 0.01%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R3                                                                                                              | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5628329 | PA      | $4940240.95   | 0.33%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                                   | Reynolds American Inc                                                                                                          | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1537493.37   | 0.10%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21550000 | PA      | $20206571.71  | 1.34%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4565000 | PA      | $4581762.13   | 0.30%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3831082 | PA      | $3229411.33   | 0.21%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                                                                | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91140.48     | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Santander UK PLC                                                        | Santander UK PLC                                                                                                               | CUSIP: 80283LAA1<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |   3950000 | PA      | $3937897.20   | 0.26%             | 2023-11-07      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                  | NextEra Energy Capital Holdings Inc                                                                                            | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1229411.83   | 0.08%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621310 | PA      | $608809.34    | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                         | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                                         | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4570000 | PA      | $4346289.36   | 0.29%             | 2034-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |    265000 | PA      | $250780.10    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173569 | PA      | $161962.02    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                 | Park Aerospace Holdings Ltd                                                                                                    | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   2330000 | PA      | $2324248.93   | 0.15%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                            | Broadcom Inc                                                                                                                   | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    916000 | PA      | $730722.98    | 0.05%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: —       |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    487000 | PA      | $426521.46    | 0.03%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR ULTRA FUT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -128 | NC      | $41338.27     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              |  | US        |   3160000 | PA      | $3100172.07   | 0.21%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| 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        |   1855960 | PA      | $1707971.81   | 0.11%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-J2                                                                                                              | CUSIP: 12564EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11003278 | PA      | $8832275.94   | 0.59%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |    100000 | PA      | $90774.50     | 0.01%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Oracle Corp                                                             | Oracle Corp                                                                                                                    | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $1851483.34   | 0.12%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1770893 | PA      | $1651595.21   | 0.11%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTPAC BKG CORP, NEW YORK                                              | WESTPAC BKG CORP, NEW YORK                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   6999230 | PA      | $6999230.00   | 0.47%             | 2023-02-17      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409094 | PA      | $379088.04    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |   2000000 | PA      | $1961059.10   | 0.13%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Corp Trust 2021-STAR                                                                                    | CUSIP: 36264LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4225000 | PA      | $4054629.41   | 0.27%             | 2036-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4707066 | PA      | $4211842.39   | 0.28%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3197522 | PA      | $2966588.93   | 0.20%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1995000 | PA      | $1842912.15   | 0.12%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2260808 | PA      | $2096431.86   | 0.14%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    870000 | PA      | $716675.32    | 0.05%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    330000 | PA      | $290691.90    | 0.02%             | 2026-08-21      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9068832 | PA      | $7688251.89   | 0.51%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26700000 | PA      | $23131760.20  | 1.54%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2234565 | PA      | $1893019.28   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                                                                           | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $939000.00    | 0.06%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Bacardi Ltd                                                             | Bacardi Ltd                                                                                                                    | CUSIP: 067316AH2<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |   1105000 | PA      | $984147.98    | 0.07%             | 2048-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                      | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4300000 | PA      | $3361571.27   | 0.22%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344377 | PA      | $2294043.90   | 0.15%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1631139 | PA      | $1621666.12   | 0.11%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                                             | BANK OF NOVA SCOTIA HOUSTON                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000081 | PA      | $2000081.46   | 0.13%             | 2023-01-09      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                     | Invitation Homes Operating Partnership LP                                                                                      | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    310000 | PA      | $229089.06    | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88105000 | PA      | $88108441.38  | 5.85%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| AT&T Inc                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1368000 | PA      | $1223797.79   | 0.08%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NATL BANK CANADA                                                        | NATL BANK CANADA                                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             | 2023-01-06      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                                                  | Federal Home Loan Banks                                                                                                        | CUSIP: 3130APYA7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  20515000 | PA      | $19420313.65  | 1.29%             | 2024-06-14      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $5410269.16   | 0.36%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CIC NY                                                                  | CIC NY                                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5000140 | PA      | $5000140.00   | 0.33%             | 2023-01-06      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Bill                                                                                                    | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25520000 | PA      | $25065862.42  | 1.67%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                                | Rockies Express Pipeline LLC                                                                                                   | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2692050.00   | 0.18%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    914909 | PA      | $809714.50    | 0.05%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                  | Bank of New York Mellon Corp/The                                                                                               | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    295000 | PA      | $305795.14    | 0.02%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $903564.20    | 0.06%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                    | Appalachian Power Co                                                                                                           | CUSIP: 037735CV7<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1183682.49   | 0.08%             | 2045-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                              | PacifiCorp                                                                                                                     | CUSIP: 695114CS5<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1916235.80   | 0.13%             | 2025-07-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2017-3 Ltd                                                                                                  | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |   5200000 | PA      | $5133590.80   | 0.34%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                                   | Ammc Clo 19 Ltd                                                                                                                | CUSIP: 00176PAJ1<br>LEI: 549300MYS7FLQJZMYD18 | Long             | ABS-CBDO         | CORP              | KY        |    682392 | PA      | $681994.38    | 0.05%             | 2028-10-16      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                                                    | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1500000 | PA      | $1060386.48   | 0.07%             | 2052-02-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| SKANDANAVISKA ENSKILDA BANKEN                                           | SKANDANAVISKA ENSKILDA BANKEN                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000988 | PA      | $1000988.00   | 0.07%             | 2023-05-03      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                 | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                                    | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1416664.22   | 0.09%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| MACQUARIE GROUP LTD                                                     | Macquarie Group Ltd                                                                                                            | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   5160000 | PA      | $3958662.73   | 0.26%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                                             | Bacardi Ltd                                                                                                                    | CUSIP: 067316AE9<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    405000 | PA      | $392972.95    | 0.03%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: —       |
| SUMITOMO MITSUI TRUST BANK LTD,NY                                       | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000156 | PA      | $2000156.00   | 0.13%             | 2023-01-10      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                                    | Kraft Heinz Foods Co                                                                                                           | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1766800.87   | 0.12%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                                          | PHH Alternative Mortgage Trust Series 2007-3                                                                                   | CUSIP: 69337MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4126554 | PA      | $3990365.34   | 0.27%             | 2037-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673558 | PA      | $642967.76    | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                 | Southern Co Gas Capital Corp                                                                                                   | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3723486.36   | 0.25%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                          | S&P Global Inc                                                                                                                 | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1482483.33   | 0.10%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2493000 | PA      | $2275837.56   | 0.15%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                  | Structured Asset Investment Loan Trust 2004-6                                                                                  | CUSIP: 86358EJS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596243 | PA      | $1534827.93   | 0.10%             | 2034-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman CLO XX Ltd                                                                                                    | CUSIP: 64130TBC8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4812955.00   | 0.32%             | 2034-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust 2021-15                                                                                             | CUSIP: 46654TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10726661 | PA      | $9196856.53   | 0.61%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                            | MKT 2020-525M Mortgage Trust                                                                                                   | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1173048.45   | 0.08%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8878784 | PA      | $7519413.90   | 0.50%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA NY                                                 | ROYAL BANK OF CANADA NY                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2001152 | PA      | $2001152.00   | 0.13%             | 2023-04-10      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732667 | PA      | $681593.60    | 0.05%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2007-RFC1                                                                                | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7056441 | PA      | $6680720.44   | 0.44%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                        | BAT Capital Corp                                                                                                               | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    430000 | PA      | $354452.96    | 0.02%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| SMRT                                                                    | SMRT 2022-MINI                                                                                                                 | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3640645.20   | 0.24%             | 2039-01-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |   1347000 | PA      | $1019723.99   | 0.07%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| BAE Systems Holdings Inc                                                | BAE Systems Holdings Inc                                                                                                       | CUSIP: 05523UAP5<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1446158.97   | 0.10%             | 2025-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                                                                          | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1713691.21   | 0.11%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MMYK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1029850 | PA      | $991452.98    | 0.07%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                     | Global Payments Inc                                                                                                            | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    795000 | PA      | $757118.65    | 0.05%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| INTERCONTINENTALEXCHANGE                                                | Intercontinental Exchange Inc                                                                                                  | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   2155000 | PA      | $1621047.03   | 0.11%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: —       |
| Octagon Credit Partners 46, LTD                                         | Octagon Investment Partners 46 Ltd                                                                                             | CUSIP: 67577VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5520000 | PA      | $5366726.16   | 0.36%             | 2036-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2018-RPL1                                                                                  | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3513250 | PA      | $3359441.76   | 0.22%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |   2399000 | PA      | $2232887.58   | 0.15%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| RAYMOND JAMES FINANCIAL                                                 | Raymond James Financial Inc                                                                                                    | CUSIP: 754730AF6<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |    995000 | PA      | $884578.31    | 0.06%             | 2046-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13075000 | PA      | $11876058.06  | 0.79%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                      | Vodafone Group PLC                                                                                                             | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1690000 | PA      | $1488433.11   | 0.10%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                    | Kraft Heinz Foods Co                                                                                                           | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1427930.67   | 0.09%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-7                                                                                                  | CUSIP: 78444EAD1<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |   2319687 | PA      | $2255088.87   | 0.15%             | 2028-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                | Florida Power & Light Co                                                                                                       | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1676756.94   | 0.11%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: —       |
| Flexential Issuer, LLC                                                  | Flexential Issuer 2021-1                                                                                                       | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4753000 | PA      | $4143540.87   | 0.28%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9885000 | PA      | $8745294.69   | 0.58%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6933967 | PA      | $5876606.13   | 0.39%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1025000 | PA      | $783345.43    | 0.05%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140LVKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14164549 | PA      | $11542782.30  | 0.77%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491246 | PA      | $459702.04    | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                                                    | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    380000 | PA      | $310422.28    | 0.02%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| ORIX CORP                                                               | ORIX Corp                                                                                                                      | CUSIP: 686330AR2<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |   1585000 | PA      | $1544857.75   | 0.10%             | 2032-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Mortgage Trust                                            | CSMC Series 2015-5R                                                                                                            | CUSIP: 12593DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9167 | PA      | $9123.68      | 0.00%             | 2046-09-27      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287634 | PA      | $267847.30    | 0.02%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS, NY                                                         | BNP PARIBAS, NY                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5001740 | PA      | $5001740.00   | 0.33%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259666 | PA      | $1232235.00   | 0.08%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMCOR FINANCE USA INC                                                   | Amcor Finance USA Inc                                                                                                          | CUSIP: 02343UAG0<br>LEI: 549300ZMT7FVT8R77U18 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2483654.83   | 0.17%             | 2026-04-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                              | AbbVie Inc                                                                                                                     | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    205000 | PA      | $191691.22    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70535000 | PA      | $70127219.53  | 4.66%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1181108.33   | 0.08%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUS, NEW YORK                                         | COMMONWEALTH BANK AUS, NEW YORK                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000148 | PA      | $2000148.00   | 0.13%             | 2023-03-30      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                 | Popular ABS Mortgage Pass-Through Trust 2006-A                                                                                 | CUSIP: 73316PJW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2525670 | PA      | $2475415.73   | 0.16%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-7                                                                                                  | CUSIP: 78447KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5456658.56   | 0.36%             | 2043-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1586537.96   | 0.11%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                                               | Boeing Co/The                                                                                                                  | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3354075.03   | 0.22%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1135109 | PA      | $1086308.58   | 0.07%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                                                                | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5280000 | PA      | $4739037.02   | 0.31%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B2YM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825617 | PA      | $794233.17    | 0.05%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6006942 | PA      | $5115814.83   | 0.34%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                | FirstEnergy Transmission LLC                                                                                                   | CUSIP: 33767BAB5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   3430000 | PA      | $3342319.66   | 0.22%             | 2025-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357449 | PA      | $1261490.09   | 0.08%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867738 | PA      | $833112.43    | 0.06%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6841757 | PA      | $6364938.64   | 0.42%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                                                                            | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1755727.18   | 0.12%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE FUTURE TAX                                                                      | CUSIP: 64971QRB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1250000 | PA      | $1179760.25   | 0.08%             | 2030-11-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140JQTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4057595 | PA      | $3613518.55   | 0.24%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3056000 | PA      | $2496507.73   | 0.17%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9400667 | PA      | $7664277.84   | 0.51%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695184 | PA      | $699948.48    | 0.05%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140QNUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11828109 | PA      | $9667044.70   | 0.64%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                                      | Vodafone Group PLC                                                                                                             | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   2620000 | PA      | $2189239.56   | 0.15%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                        | Soundview Home Loan Trust 2007-OPT1                                                                                            | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10417370 | PA      | $7391594.05   | 0.49%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                         | DC Office Trust 2019-MTC                                                                                                       | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1470104.72   | 0.10%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: SWFCME028 IRS USD R F  1.39000 SWFCME028_FIX CCPVANILLA / Short: SWFCME028 IRS USD P V 03MLIBOR SWFCME028_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  54410000 | OU      | $-2765442.66  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2434635.49   | 0.16%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                                     | Ameriquest Mortgage Securities Trust 2006-R1                                                                                   | CUSIP: 03072SX42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314393 | PA      | $312150.84    | 0.02%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                                                | Enbridge Energy Partners LP                                                                                                    | CUSIP: 29250RAW6<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |    850000 | PA      | $863166.70    | 0.06%             | 2025-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FGVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705414 | PA      | $611949.05    | 0.04%             | 2048-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                                                                         | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    435000 | PA      | $329167.00    | 0.02%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RBH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1791000 | PA      | $1469325.82   | 0.10%             | 2042-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| SVENSKA NY                                                              | SVENSKA NY                                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2001358 | PA      | $2001358.00   | 0.13%             | 2023-04-12      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $853955.80    | 0.06%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                       | United States Small Business Administration                                                                                    | CUSIP: 83162CQ22<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   7250000 | PA      | $6891267.10   | 0.46%             | 2047-07-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                                       | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5001640 | PA      | $5001640.00   | 0.33%             | 2023-02-24      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    560000 | PA      | $536088.46    | 0.04%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Wellman Park CLO Ltd                                                    | Wellman Park CLO Ltd                                                                                                           | CUSIP: 949723AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4646725.50   | 0.31%             | 2034-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57770000 | PA      | $57399910.94  | 3.81%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                                                                 | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2843366.16   | 0.19%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST                                             | STATE STREET BANK AND TRUST                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2002354 | PA      | $2002354.00   | 0.13%             | 2023-07-14      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                | Angel Oak Mortgage Trust 2022-2                                                                                                | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7319383 | PA      | $6607847.92   | 0.44%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-6                                                                                                  | CUSIP: 78447GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4433778 | PA      | $4239945.61   | 0.28%             | 2026-05-26      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    875000 | PA      | $872805.24    | 0.06%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| TAKE-TWO INTERACTIVE SOF                                                | Take-Two Interactive Software Inc                                                                                              | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    775000 | PA      | $685977.36    | 0.05%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                                                                         | CUSIP: 30225VAF4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   1000000 | PA      | $782269.83    | 0.05%             | 2031-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $2547197.35   | 0.17%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       202 | NC      | $-14157.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Institutional Liquid Reserves Fund                         | State Street Institutional Liquid Reserves Fund                                                                                | CUSIP: 85749Q455<br>LEI: 5493000HFJPORCLSV250 | Long             | STIV             | RF                | US        | 133683206 | NS      | $133736679.15 | 8.89%             |  |  |  | No            |                  1 | On Loan: No      |
| FS Rialto 2019-FL1 Issuer, Ltd.                                         | FS Rialto 2019-FL1                                                                                                             | CUSIP: 30312UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1888855 | PA      | $1879049.89   | 0.12%             | 2036-12-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886222 | PA      | $801645.59    | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                              | Cigna Corp                                                                                                                     | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    739000 | PA      | $525249.10    | 0.03%             | 2051-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                                                                    | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   2800000 | PA      | $2676754.47   | 0.18%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  70150000 | PA      | $69113281.91  | 4.59%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3138ERDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1233627 | PA      | $1211865.07   | 0.08%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1525491.85   | 0.10%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| SPRINT SPECTRUM / SPEC I                                                | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC                                                | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1626119.04   | 0.11%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1274000 | PA      | $1018301.33   | 0.07%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                      | New Century Home Equity Loan Trust 2004-2                                                                                      | CUSIP: 64352VFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5420409 | PA      | $5078614.12   | 0.34%             | 2034-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | Credit Suisse Group AG                                                                                                         | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4950000 | PA      | $5068142.54   | 0.34%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709888 | PA      | $602292.81    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO BK NY                                                          | SUMITOMO BK NY                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   4000440 | PA      | $4000440.00   | 0.27%             | 2023-03-06      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6700000 | PA      | $5599897.12   | 0.37%             | 2028-09-22      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                                                               | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1478754.15   | 0.10%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B1Q80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1073106 | PA      | $1024140.71   | 0.07%             | 2047-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $888121.06    | 0.06%             | 2047-06-15      | Fixed         | 5.50%                 | 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        |   1765000 | PA      | $1478673.39   | 0.10%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                                                                    | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1567292.98   | 0.10%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5085000 | PA      | $4283592.71   | 0.28%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| Regents of the University of California Medical Center Pooled Revenue   | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                                                                           | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3485000 | PA      | $2258437.17   | 0.15%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8717656 | PA      | $7102008.06   | 0.47%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                    | Appalachian Power Co                                                                                                           | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    760000 | PA      | $711314.36    | 0.05%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| ALIMENTATION COUCHE-TARD                                                | Alimentation Couche-Tard Inc                                                                                                   | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   2340000 | PA      | $2162794.14   | 0.14%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                                                               | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2575000 | PA      | $2202323.21   | 0.15%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MMUS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    729356 | PA      | $698479.34    | 0.05%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MMXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208748 | PA      | $196288.74    | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                                             | BANK OF NOVA SCOTIA HOUSTON                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   6002522 | PA      | $6002521.50   | 0.40%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                       | Eversource Energy                                                                                                              | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1636895.84   | 0.11%             | 2027-07-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| American Money Management Corporation                                   | AMMC CLO XIII Ltd                                                                                                              | CUSIP: 00176DAQ2<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | KY        |   3980956 | PA      | $3947237.11   | 0.26%             | 2029-07-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI Properties LP                                                                                                             | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    954000 | PA      | $843879.78    | 0.06%             | 2052-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPER                                                | Enterprise Products Operating LLC                                                                                              | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    970000 | PA      | $871737.60    | 0.06%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| National Bank Of Canada                                                 | National Bank Of Canada                                                                                                        | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |  35000000 | PA      | $35000000.00  | 2.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust 2017-1                                                                                               | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924891 | PA      | $909336.39    | 0.06%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781507 | PA      | $706903.26    | 0.05%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  73500000 | PA      | $62218801.79  | 4.13%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                                                                             | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2352000 | PA      | $1946708.49   | 0.13%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                                                                          | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $940097.81    | 0.06%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31850000 | PA      | $27944210.93  | 1.86%             | 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        |   3000000 | PA      | $2371292.97   | 0.16%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1486833.93   | 0.10%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1694319.17   | 0.11%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $983014.54    | 0.07%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| AGL CLO Ltd.                                                            | AGL CLO 12 Ltd                                                                                                                 | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   5400000 | PA      | $5263466.40   | 0.35%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1342989 | PA      | $1352215.94   | 0.09%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3503152 | PA      | $2983452.43   | 0.20%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4506000 | PA      | $4229852.27   | 0.28%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                                                                   | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    480000 | PA      | $363820.47    | 0.02%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                                             | BANK OF NOVA SCOTIA HOUSTON                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2002338 | PA      | $2002338.00   | 0.13%             | 2023-08-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7040000 | PA      | $7015525.02   | 0.47%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-9                                                                                                  | CUSIP: 78445JAA5<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-O            | CORP              | US        |   1922792 | PA      | $1904156.29   | 0.13%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Bill                                                                                                    | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  13615000 | PA      | $13395191.41  | 0.89%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-30HY Mortgage Trust                                                                                          | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1612125.94   | 0.11%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                                                                       | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |   1950000 | PA      | $1546707.88   | 0.10%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                | Sabine Pass Liquefaction LLC                                                                                                   | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1302317.95   | 0.09%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                                                | Lloyds Banking Group PLC                                                                                                       | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1038654.70   | 0.07%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3819925 | PA      | $3411728.66   | 0.23%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                                                | BANK OF MONTREAL CHICAGO                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.20%             | 2023-03-02      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden XXVI Senior Loan Fund                                                                                                   | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |   2049275 | PA      | $2024585.80   | 0.13%             | 2029-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2174430.84   | 0.14%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                                                                   | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |   1395000 | PA      | $1302423.94   | 0.09%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B1Z72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1660271 | PA      | $1464430.11   | 0.10%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |    995000 | PA      | $872052.05    | 0.06%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3640000 | PA      | $3063038.45   | 0.20%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: —       |
| INTERNATIONAL TRANSMISSI                                                | International Transmission Co                                                                                                  | CUSIP: 46051MAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2381336.29   | 0.16%             | 2043-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                                           | CALI Mortgage Trust 2019-101C                                                                                                  | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1896355.56   | 0.13%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                             | BXHPP Trust 2021-FILM                                                                                                          | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4777000 | PA      | $4467546.90   | 0.30%             | 2036-08-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                    | Tencent Holdings Ltd                                                                                                           | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    910000 | PA      | $644725.76    | 0.04%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2005-7                                                                                   | CUSIP: 1266732K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372117 | PA      | $370805.24    | 0.02%             | 2035-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4422427 | PA      | $4248230.88   | 0.28%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CE7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    535000 | PA      | $502436.50    | 0.03%             | 2025-11-07      | Fixed         | 2.63%                 | No            |                  2 | On Loan: —       |
| CENTENE CORP                                                            | Centene Corp                                                                                                                   | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4362000 | PA      | $3575746.14   | 0.24%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                     | CommonSpirit Health                                                                                                            | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    870000 | PA      | $717596.88    | 0.05%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust                                                                  | CUSIP: 92922FPT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2693008 | PA      | $2515954.64   | 0.17%             | 2034-06-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1268358 | PA      | $1244407.95   | 0.08%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              |  | US        |    610000 | PA      | $594604.15    | 0.04%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607633 | PA      | $582902.59    | 0.04%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3133KPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7540873 | PA      | $6398558.99   | 0.43%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1130746.68   | 0.08%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2018-RPL9 Trust                                                                                                           | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4333691 | PA      | $4048559.76   | 0.27%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              |  | US        |    550000 | PA      | $517592.60    | 0.03%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MAE62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1968650 | PA      | $1899049.95   | 0.13%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                   | Level 3 Financing Inc                                                                                                          | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    228000 | PA      | $192656.68    | 0.01%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| EVERGY METRO                                                            | Evergy Metro Inc                                                                                                               | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1824015.94   | 0.12%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC                                   | New Economy Assets Phase 1 Sponsor LLC                                                                                         | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4765000 | PA      | $3914518.02   | 0.26%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8579331 | PA      | $7273270.14   | 0.48%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                     | CommonSpirit Health                                                                                                            | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $913760.59    | 0.06%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    465000 | PA      | $361969.14    | 0.02%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2408606 | PA      | $2249650.25   | 0.15%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1354 | NC      | $244281.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RABOBANK LONDON                                                         | RABOBANK LONDON                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             | 2023-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915618 | PA      | $820705.72    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ruby Pipeline LLC                                                       | Ruby Pipeline LLC                                                                                                              | CUSIP: 781172AB7<br>LEI: 549300VXRTBPBK07QT94 | Long             | DBT              | CORP              | US        |   2262727 | PA      | $2455059.09   | 0.16%             | 2022-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25579 | PA      | $24449.34     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  86087000 | PA      | $61468135.88  | 4.08%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                                    | Royal Bank of Canada                                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Co                                                | Pennsylvania Electric Co                                                                                                       | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    570000 | PA      | $511998.51    | 0.03%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787250 | PA      | $735002.49    | 0.05%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B2TU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111958 | PA      | $1070783.41   | 0.07%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: SWFCME026 IRS USD R F  1.03350 SWFCME026_FIX CCPVANILLA / Short: SWFCME026 IRS USD P V 03MLIBOR SWFCME026_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  34890000 | OU      | $-2117732.29  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2451988 | PA      | $2202368.70   | 0.15%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    960000 | PA      | $865467.67    | 0.06%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                | AT&T Inc                                                                                                                       | CUSIP: 00206RDR0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2394313.45   | 0.16%             | 2037-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                                                                 | CUSIP: 64971MT44<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2150000 | PA      | $2169078.89   | 0.14%             | 2027-05-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                      | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    475000 | PA      | $427189.32    | 0.03%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6363608 | PA      | $5913938.68   | 0.39%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                                     | Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11                                                 | CUSIP: 03072SV36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5965000 | PA      | $5775858.80   | 0.38%             | 2036-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    755000 | PA      | $665061.18    | 0.04%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2022-BNK42                                                                                                                | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4231000 | PA      | $4042813.16   | 0.27%             | 2055-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                                                                       | CUSIP: 38380Y2X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1371407 | PA      | $1290864.68   | 0.09%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473655 | PA      | $450761.10    | 0.03%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  80125000 | PA      | $65178503.33  | 4.33%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                                                                         | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   4273000 | PA      | $3390079.80   | 0.23%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $916499.90    | 0.06%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                | Anheuser-Busch InBev Worldwide Inc                                                                                             | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    512000 | PA      | $444903.26    | 0.03%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| AMER AIRLN 13-1 A PASS T                                                | American Airlines 2013-1 Class A Pass Through Trust                                                                            | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    851146 | PA      | $737929.79    | 0.05%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| County of Miami-Dade FL Aviation Revenue                                | MIAMI-DADE CNTY FL AVIATION REVENUE                                                                                            | CUSIP: 59333P4R6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | PA      | $504600.06    | 0.03%             | 2034-10-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3925000 | PA      | $3431960.93   | 0.23%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS Group AG                                                                                                                   | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1040000 | PA      | $1016458.10   | 0.07%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCK0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3930000 | PA      | $3663424.37   | 0.24%             | 2025-06-23      | Fixed         | 0.97%                 | No            |                  2 | On Loan: —       |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2021-8                                                                                                | CUSIP: 46592TAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6612328 | PA      | $5722904.10   | 0.38%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                                                                           | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $74910.46     | 0.00%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7505000 | PA      | $6908440.83   | 0.46%             | 2025-10-21      | Fixed         | 1.16%                 | No            |                  2 | On Loan: —       |
| CIM Trust                                                               | CIM Trust 2021-R5                                                                                                              | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4946512 | PA      | $4148736.89   | 0.28%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    725000 | PA      | $619120.57    | 0.04%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7742681 | PA      | $6976940.24   | 0.46%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                    | Tencent Holdings Ltd                                                                                                           | CUSIP: 88032WBB1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    920000 | PA      | $676472.34    | 0.04%             | 2041-04-22      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040501 | PA      | $961821.04    | 0.06%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2885000 | PA      | $2689492.32   | 0.18%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: —       |
| Petroleos Mexicanos                                                     | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3228000 | PA      | $2059459.80   | 0.14%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2459267 | PA      | $2411043.59   | 0.16%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA NY                                                 | ROYAL BANK OF CANADA NY                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5003305 | PA      | $5003305.00   | 0.33%             | 2023-09-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $994811.87    | 0.07%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: —       |
| US BANCORP                                                              | US Bancorp                                                                                                                     | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1536446.67   | 0.10%             | 2033-10-21      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                                                 | Federal Home Loan Bank Discount Notes                                                                                          | CUSIP: 313384EH8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   6360000 | PA      | $6281773.53   | 0.42%             | 2023-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                | Plains All American Pipeline LP / PAA Finance Corp                                                                             | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1121114.70   | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Reynolds American Inc                                                   | Reynolds American Inc                                                                                                          | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1056114.93   | 0.07%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2004-10                                                                                                 | CUSIP: 78442GND4<br>LEI: 54930060UIG70QCSNY68 | Long             | ABS-O            | CORP              | US        |   2704170 | PA      | $2481242.86   | 0.16%             | 2040-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                                                                 | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4715000 | PA      | $4389803.20   | 0.29%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5015000 | PA      | $4047178.97   | 0.27%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5155000 | PA      | $4976192.69   | 0.33%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: —       |
| BANK OF NOVA SCOTIA HOUSTON                                             | BANK OF NOVA SCOTIA HOUSTON                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2999864 | PA      | $2999864.22   | 0.20%             | 2023-02-17      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2621878 | PA      | $2440209.16   | 0.16%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                        | Paramount Global                                                                                                               | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1456875.51   | 0.10%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2180000 | PA      | $1686620.35   | 0.11%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568506 | PA      | $545844.57    | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1835876 | PA      | $1720049.09   | 0.11%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIT UFJ TR NY                                                           | MIT UFJ TR NY                                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5001500 | PA      | $5001500.00   | 0.33%             | 2023-02-14      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Inflation Indexed Bonds                                                                                 | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2090071 | PA      | $1914330.82   | 0.13%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: —       |
| HUMANA INC                                                              | Humana Inc                                                                                                                     | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   4685000 | PA      | $4289298.95   | 0.28%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44950000 | PA      | $44704179.69  | 2.97%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1018918.50   | 0.07%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: —       |
| NATIONWIDE BLDG SOCIETY                                                 | Nationwide Building Society                                                                                                    | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2820000 | PA      | $2804534.61   | 0.19%             | 2024-03-08      | Fixed         | 3.77%                 | No            |                  2 | On Loan: —       |
| BAT Capital Corp                                                        | BAT Capital Corp                                                                                                               | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    830000 | PA      | $645326.25    | 0.04%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: —       |
| City of New York NY                                                     | NEW YORK NY                                                                                                                    | CUSIP: 64966HYM6<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1750000 | PA      | $1871368.28   | 0.12%             | 2036-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| NY & PRESBYTERIAN HOSPIT                                                | New York and Presbyterian Hospital/The                                                                                         | CUSIP: 649322AC8<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $3728773.71   | 0.25%             | 2036-08-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                                                                             | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1016468.88   | 0.07%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Student Loan Trust 2017-3                                                                                              | CUSIP: 63940JAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5564098 | PA      | $5386979.49   | 0.36%             | 2066-07-26      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1973480.45   | 0.13%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: —       |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-CH2                                                                                  | CUSIP: 46630MAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8307000 | PA      | $7369765.22   | 0.49%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                  | Fresenius Medical Care US Finance III Inc                                                                                      | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1738375.09   | 0.12%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| KEYSPAN GAS EAST CORP                                                   | KeySpan Gas East Corp                                                                                                          | CUSIP: 49338CAC7<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3311403.65   | 0.22%             | 2052-01-18      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                                | Vantage Data Centers Issuer LLC                                                                                                | CUSIP: 92211MAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800629 | PA      | $4683971.96   | 0.31%             | 2043-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    135000 | PA      | $130804.96    | 0.01%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5605000 | PA      | $4915068.95   | 0.33%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: —       |
| HSBC Securities,Inc.                                                    | HSBC Securities,Inc.                                                                                                           | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                                                    | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1795000 | PA      | $1708501.61   | 0.11%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                                        | Farmers Insurance Exchange                                                                                                     | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $72145.87     | 0.00%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                                   | MidAmerican Energy Co                                                                                                          | CUSIP: 595620AL9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    905000 | PA      | $843160.73    | 0.06%             | 2043-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CO                                                | Capital One Financial Corp                                                                                                     | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2308418.27   | 0.15%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: —       |
| Citigroup Global Markets Inc                                            | Citigroup Global Markets Inc                                                                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453300 | PA      | $423267.07    | 0.03%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                 | Park Aerospace Holdings Ltd                                                                                                    | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    390000 | PA      | $384914.22    | 0.03%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2460544 | PA      | $2222872.38   | 0.15%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3132DMHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5443402 | PA      | $4847464.17   | 0.32%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEN NORSKE BANK OSLO                                                    | DEN NORSKE BANK OSLO                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5001265 | PA      | $5001265.00   | 0.33%             | 2023-06-02      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8403309 | PA      | $7851554.01   | 0.52%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: BWFCME029 IRS USD R V 03MLIBOR SWFCME029_FLO CCPVANILLA / Short: BWFCME029 IRS USD P F  1.87000 SWFCME029_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4645000 | OU      | $1309171.88   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                     | Global Payments Inc                                                                                                            | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1024000 | PA      | $925860.80    | 0.06%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE GROUP AG                                                  | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1650000 | PA      | $1317827.66   | 0.09%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 3140HXWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2790000 | PA      | $1930334.46   | 0.13%             | 2040-04-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                             | Long: SWFCME024 IRS USD R F  1.02550 SWFCME024_FIX CCPVANILLA / Short: SWFCME024 IRS USD P V 03MLIBOR SWFCME024_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  47170000 | OU      | $-2870063.37  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              |  | US        |    145000 | PA      | $139018.75    | 0.01%             | 2025-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R4                                                                                                              | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6392242 | PA      | $5542767.70   | 0.37%             | 2061-05-01      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2018-R5                                                                                                              | CUSIP: 12553UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2398364 | PA      | $2301166.27   | 0.15%             | 2058-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    700000 | PA      | $547792.88    | 0.04%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                                                                 | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2965000 | PA      | $2237171.16   | 0.15%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1087581.54   | 0.07%             | 2038-06-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-ATH2                                                                                                                 | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4359737 | PA      | $4168058.34   | 0.28%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137FG6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5465000 | PA      | $5120756.37   | 0.34%             | 2033-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XCR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374815 | PA      | $359561.82    | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                        | Lenovo Group Ltd                                                                                                               | CUSIP: 526250AE5<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    825000 | PA      | $798952.98    | 0.05%             | 2032-07-27      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4498000 | PA      | $4074354.75   | 0.27%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                     | Macquarie Group Ltd                                                                                                            | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    680000 | PA      | $590168.76    | 0.04%             | 2033-06-21      | Fixed         | 4.44%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                 | HCA Inc                                                                                                                        | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2725474.37   | 0.18%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                  | Berkshire Hathaway Finance Corp                                                                                                | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    615000 | PA      | $490184.46    | 0.03%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Bofa Securities, Inc                                                    | Bofa Securities, Inc                                                                                                           | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |  17138105 | PA      | $17138105.47  | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1529986.06   | 0.10%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: —       |
| NATIONWIDE BLDG SOCIETY                                                 | Nationwide Building Society                                                                                                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2435000 | PA      | $2140355.94   | 0.14%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: —       |
| PUBLIC SERVICE CO OF NEW                                                | Public Service Co of New Mexico                                                                                                | CUSIP: 744542AC5<br>LEI: OFZN1UT56PNG1CGSR346 | Long             | DBT              | CORP              | US        |   3135000 | PA      | $2986535.65   | 0.20%             | 2025-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                            | DNB Bank ASA                                                                                                                   | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   3140000 | PA      | $2656316.66   | 0.18%             | 2028-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CAROLINAS                                                   | Duke Energy Carolinas LLC                                                                                                      | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1121910.88   | 0.07%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                                                               | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6691442 | PA      | $5450696.42   | 0.36%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBZ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3935000 | PA      | $3893615.88   | 0.26%             | 2024-03-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                                                | Lloyds Banking Group PLC                                                                                                       | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2515000 | PA      | $2434190.18   | 0.16%             | 2025-07-09      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                     | Invitation Homes Operating Partnership LP                                                                                      | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |   1545000 | PA      | $1351698.27   | 0.09%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| Small Business Administration Participation Certs                       | United States Small Business Administration                                                                                    | CUSIP: 83162CQ97<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   3928000 | PA      | $3946871.68   | 0.26%             | 2047-10-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                                                                  | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6220000 | PA      | $5395276.76   | 0.36%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5098876.58   | 0.34%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2003-7                                                                                                  | CUSIP: 78442GHH2<br>LEI: 549300IWUQEXD0TZWG69 | Long             | ABS-O            | CORP              | US        |   3095210 | PA      | $3033775.32   | 0.20%             | 2033-12-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38805000 | PA      | $29628223.63  | 1.97%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2015-PC1 Mortgage Trust                                                                                                   | CUSIP: 12593GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2728219 | PA      | $2633605.06   | 0.17%             | 2050-07-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2006-2                                                                                                  | CUSIP: 784428AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8012070 | PA      | $7547064.05   | 0.50%             | 2039-09-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                                                                           | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1393901.18   | 0.09%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: —       |
| BANK OF MONTREAL CHICAGO                                                | BANK OF MONTREAL CHICAGO                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3004052 | PA      | $3004052.40   | 0.20%             | 2023-11-08      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |    335000 | PA      | $307405.05    | 0.02%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| LEVEL 3 FINANCING INC                                                   | Level 3 Financing Inc                                                                                                          | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $4091667.00   | 0.27%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| JBS USA/FOOD/FINANCE                                                    | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1085000 | PA      | $832032.97    | 0.06%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501375 | PA      | $452004.81    | 0.03%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                                                                | CUSIP: 31418AHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347152 | PA      | $332616.79    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                                                                             | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3830000 | PA      | $3059905.08   | 0.20%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                                                     | Macquarie Group Ltd                                                                                                            | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    628000 | PA      | $590613.55    | 0.04%             | 2030-01-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                            | CubeSmart LP                                                                                                                   | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |    530000 | PA      | $405182.88    | 0.03%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer